New Economic Windows

Econophysics of Order-driven Markets

Editors: Abergel, F., Chakrabarti, B.K., Chakraborti, A., Mitra, M. (Eds.)

  • This is the first book of its kind emerging out of the workshop where leading scientists from all over the world will discuss and report on their latest results
  • Book will report recent researches and review contemporary developments
  • The book will also include the comments and debates on the latest issues
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eBook $119.00
price for USA (gross)
  • ISBN 978-88-470-1766-5
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $159.00
price for USA
  • ISBN 978-88-470-1765-8
  • Free shipping for individuals worldwide
  • Online orders shipping within 2-3 days.
About this book

The primary goal of the book is to present the ideas and research findings of active researchers from various communities (physicists, economists, mathematicians, financial engineers) working in the field of "Econophysics", who have undertaken the task of modelling and analyzing order-driven markets. Of primary interest in these studies are the mechanisms leading to the statistical regularities ("stylized facts") of price statistics. Results pertaining to other important issues such as market impact, the profitability of trading strategies, or mathematical models for microstructure effects, are also presented. Several leading researchers in these fields report on their recent work and also review the contemporary literature. Some historical perspectives, comments and debates on recent issues in Econophysics research are also included.

Table of contents (22 chapters)

  • Trade-throughs: Empirical Facts and Application to Lead-lag Measures

    Pomponio, Fabrizio (et al.)

    Pages 3-16

  • Are the Trading Volume and the Number of Trades Distributions Universal?

    Vijayaraghavan, Vikram S. (et al.)

    Pages 17-30

  • Subpenny Trading in US Equity Markets

    Delassus, Romain (et al.)

    Pages 31-47

  • “Market Making” in an Order Book Model and Its Impact on the Spread

    Toke, Ioane Muni

    Pages 49-64

  • Price-Time Priority and Pro Rata Matching in an Order Book Model of Financial Markets

    Preis, Tobias

    Pages 65-72

Buy this book

eBook $119.00
price for USA (gross)
  • ISBN 978-88-470-1766-5
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $159.00
price for USA
  • ISBN 978-88-470-1765-8
  • Free shipping for individuals worldwide
  • Online orders shipping within 2-3 days.
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Bibliographic Information

Bibliographic Information
Book Title
Econophysics of Order-driven Markets
Editors
  • Frédéric Abergel
  • Bikas K Chakrabarti
  • Anirban Chakraborti
  • Manipushpak Mitra
Series Title
New Economic Windows
Copyright
2011
Publisher
Springer-Verlag Mailand
Copyright Holder
Springer Milan
eBook ISBN
978-88-470-1766-5
DOI
10.1007/978-88-470-1766-5
Hardcover ISBN
978-88-470-1765-8
Series ISSN
2039-411X
Edition Number
1
Number of Pages
XV, 309
Topics