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Econophysics of Order-driven Markets

  • Book
  • © 2011

Overview

Editors:
  1. Frédéric Abergel

    1. Laboratory of Mathematics Applied to Systems, École Centrale Paris, Châtenay-Malabry, France

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  2. Bikas K. Chakrabarti

    1. Centre for Applied Mathematics and Computational Science, Saha Institute of Nuclear Physics, Kolkata, India
      Economic Research Unit, Indian Statistical Institute, Kolkata, India

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  3. Anirban Chakraborti

    1. Laboratory of Mathematics Applied to Systems, École Centrale Paris, Châtenay-Malabry, France

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  4. Manipushpak Mitra

    1. Economic Research Unit, Indian Statistical Institute, Kolkata, India

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  • 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

Part of the book series: New Economic Windows (NEW)

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Table of contents (22 chapters)

  1. Front Matter

    Pages i-xv
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  2. Order Book Data and Modelling

    1. Front Matter

      Pages 1-1
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    2. Trade-throughs: Empirical Facts and Application to Lead-lag Measures

      • Fabrizio Pomponio, Frédéric Abergel
      Pages 3-16

    3. Are the Trading Volume and the Number of Trades Distributions Universal?

      • Vikram S. Vijayaraghavan, Sitabhra Sinha
      Pages 17-30

    4. Subpenny Trading in US Equity Markets

      • Romain Delassus, Stéphane Tyč
      Pages 31-47

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

      • Ioane Muni Toke
      Pages 49-64

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

      • Tobias Preis
      Pages 65-72

    7. High-Frequency Simulations of an Order Book: a Two-scale Approach

      • Charles-Albert Lehalle, Olivier Guéant, Julien Razafinimanana
      Pages 73-92

    8. A Mathematical Approach to Order Book Modelling

      • Frédéric Abergel, Aymen Jedidi
      Pages 93-107

    9. Reconstructing Agents’ Strategies from Price Behavior

      • Valentina Alfi, Matthieu Cristelli, Luciano Pietronero, Andrea Zaccaria
      Pages 109-124

    10. Market Influence and Order Book Strategies

      • François Ghoulmié
      Pages 125-138

    11. Multi-Agent Order Book Simulation: Mono- and Multi-Asset High-Frequency Market Making Strategies

      • Laurent Foata, Michael Vidhamali, Frédéric Abergel
      Pages 139-152

  3. High-Frequency Data and Modelling

    1. Front Matter

      Pages 153-153
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    2. The Nature of Price Returns During Periods of High Market Activity

      • Khalil Al Dayri, Emmanuel Bacry, Jean-François Muzy
      Pages 155-172

    3. Tick Size and Price Diffusion

      • Gabriele La Spada, J. Doyne Farmer, Fabrizio Lillo
      Pages 173-187

    4. High Frequency Correlation Modelling

      • Nicolas Huth, Frédéric Abergel
      Pages 189-202

    5. The Model with Uncertainty Zones for Ultra High Frequency Prices and Durations: Applications to Statistical Estimation and Mathematical Finance

      • Christian Y. Robert, Mathieu Rosenbaum
      Pages 203-224

    6. Exponential Resilience and Decay of Market Impact

      • Jim Gatheral, Alexander Schied, Alla Slynko
      Pages 225-236

  4. Miscellaneous

    1. Front Matter

      Pages 237-237
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    2. Modeling the Non-Markovian, Non-stationary Scaling Dynamics of Financial Markets

      • Fulvio Baldovin, Dario Bovina, Francesco Camana, Attilio L. Stella
      Pages 239-252
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Keywords

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.

Editors and Affiliations

  • Laboratory of Mathematics Applied to Systems, École Centrale Paris, Châtenay-Malabry, France

    Frédéric Abergel, Anirban Chakraborti

  • Centre for Applied Mathematics and Computational Science, Saha Institute of Nuclear Physics, Kolkata, India

    Bikas K. Chakrabarti

  • Economic Research Unit, Indian Statistical Institute, Kolkata, India

    Bikas K. Chakrabarti, Manipushpak Mitra

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