Download or read book Limit Order Books written by Frédéric Abergel and published by Cambridge University Press. This book was released on 2016-05-09 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: A limit order book is essentially a file on a computer that contains all orders sent to the market, along with their characteristics such as the sign of the order, price, quantity and a timestamp. The majority of organized electronic markets rely on limit order books to store the list of interests of market participants on their central computer. A limit order book contains all the information available on a specific market and it reflects the way the market moves under the influence of its participants. This book discusses several models of limit order books. It begins by discussing the data to assess their empirical properties, and then moves on to mathematical models in order to reproduce the observed properties. Finally, the book presents a framework for numerical simulations. It also covers important modelling techniques including agent-based modelling, and advanced modelling of limit order books based on Hawkes processes. The book also provides in-depth coverage of simulation techniques and introduces general, flexible, open source library concepts useful to readers studying trading strategies in order-driven markets.
Download or read book Algorithmic and High Frequency Trading written by Álvaro Cartea and published by Cambridge University Press. This book was released on 2015-08-06 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: The design of trading algorithms requires sophisticated mathematical models backed up by reliable data. In this textbook, the authors develop models for algorithmic trading in contexts such as executing large orders, market making, targeting VWAP and other schedules, trading pairs or collection of assets, and executing in dark pools. These models are grounded on how the exchanges work, whether the algorithm is trading with better informed traders (adverse selection), and the type of information available to market participants at both ultra-high and low frequency. Algorithmic and High-Frequency Trading is the first book that combines sophisticated mathematical modelling, empirical facts and financial economics, taking the reader from basic ideas to cutting-edge research and practice. If you need to understand how modern electronic markets operate, what information provides a trading edge, and how other market participants may affect the profitability of the algorithms, then this is the book for you.
Download or read book High Frequency Trading and Limit Order Book Dynamics written by Ingmar Nolte and published by Routledge. This book was released on 2016-04-14 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book brings together the latest research in the areas of market microstructure and high-frequency finance along with new econometric methods to address critical practical issues in these areas of research. Thirteen chapters, each of which makes a valuable and significant contribution to the existing literature have been brought together, spanning a wide range of topics including information asymmetry and the information content in limit order books, high-frequency return distribution models, multivariate volatility forecasting, analysis of individual trading behaviour, the analysis of liquidity, price discovery across markets, market microstructure models and the information content of order flow. These issues are central both to the rapidly expanding practice of high frequency trading in financial markets and to the further development of the academic literature in this area. The volume will therefore be of immediate interest to practitioners and academics. This book was originally published as a special issue of European Journal of Finance.
Download or read book Limit Order Book as a Market for Liquidity written by Thierry Foucault and published by . This book was released on 2001 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Econophysics and Sociophysics Recent Progress and Future Directions written by Frédéric Abergel and published by Springer. This book was released on 2017-01-11 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the proceedings from ECONOPHYS-2015, an international workshop held in New Delhi, India, on the interrelated fields of “econophysics” and “sociophysics”, which have emerged from the application of statistical physics to economics and sociology. Leading researchers from varied communities, including economists, sociologists, financial analysts, mathematicians, physicists, statisticians, and others, report on their recent work, discuss topical issues, and review the relevant contemporary literature. A society can be described as a group of people who inhabit the same geographical or social territory and are mutually involved through their shared participation in different aspects of life. It is possible to observe and characterize average behaviors of members of a society, an example being voting behavior. Moreover, the dynamic nature of interaction within any economic sector comprising numerous cooperatively interacting agents has many features in common with the interacting systems of statistical physics. It is on these bases that interest has grown in the application within sociology and economics of the tools of statistical mechanics. This book will be of value for all with an interest in this flourishing field.
Download or read book Stochastic Processes for Physicists written by Kurt Jacobs and published by Cambridge University Press. This book was released on 2010-02-18 with total page 203 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic processes are an essential part of numerous branches of physics, as well as in biology, chemistry, and finance. This textbook provides a solid understanding of stochastic processes and stochastic calculus in physics, without the need for measure theory. In avoiding measure theory, this textbook gives readers the tools necessary to use stochastic methods in research with a minimum of mathematical background. Coverage of the more exotic Levy processes is included, as is a concise account of numerical methods for simulating stochastic systems driven by Gaussian noise. The book concludes with a non-technical introduction to the concepts and jargon of measure-theoretic probability theory. With over 70 exercises, this textbook is an easily accessible introduction to stochastic processes and their applications, as well as methods for numerical simulation, for graduate students and researchers in physics.
Download or read book Why Stocks Go Up and Down written by William H. Pike and published by McGraw-Hill Professional Publishing. This book was released on 1983 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Market Microstructure Theory written by Maureen O'Hara and published by John Wiley & Sons. This book was released on 1998-03-06 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by one of the leading authorities in market microstructure research, this book provides a comprehensive guide to the theoretical work in this important area of finance.
Download or read book Trades Quotes and Prices written by Jean-Philippe Bouchaud and published by Cambridge University Press. This book was released on 2018-03-22 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt: The widespread availability of high-quality, high-frequency data has revolutionised the study of financial markets. By describing not only asset prices, but also market participants' actions and interactions, this wealth of information offers a new window into the inner workings of the financial ecosystem. In this original text, the authors discuss empirical facts of financial markets and introduce a wide range of models, from the micro-scale mechanics of individual order arrivals to the emergent, macro-scale issues of market stability. Throughout this journey, data is king. All discussions are firmly rooted in the empirical behaviour of real stocks, and all models are calibrated and evaluated using recent data from Nasdaq. By confronting theory with empirical facts, this book for practitioners, researchers and advanced students provides a fresh, new, and often surprising perspective on topics as diverse as optimal trading, price impact, the fragile nature of liquidity, and even the reasons why people trade at all.
Download or read book The Economics of Missing Markets Information and Games written by Frank Hahn and published by Oxford University Press, USA. This book was released on 1989 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of papers is the result of a Cambridge University study of the consequences of missing markets, asymmetric information, market-dependent information, strategic market situations, and the role of quantity signals. The contributors also consider the behavior of overlapping generation models and their macroeconomic implications, providing a useful reference text on most of the main issues of current interest to economic theorists.
Download or read book Econophysics of Order driven Markets written by Frédéric Abergel and published by Springer Science & Business Media. This book was released on 2011-04-06 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Stock Investing For Dummies written by Paul Mladjenovic and published by John Wiley & Sons. This book was released on 2009-01-27 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock Investing For Dummies, 3rd Edition includes information on stock investing in both bear and bull markets; unique investment segments; stock investing for different types of situations; and examples straight from the real world of stock investing as they have occurred in the past three years.
Download or read book Learn Algorithmic Trading written by Sourav Ghosh and published by . This book was released on 2019-11-07 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understand the fundamentals of algorithmic trading to apply algorithms to real market data and analyze the results of real-world trading strategies Key Features Understand the power of algorithmic trading in financial markets with real-world examples Get up and running with the algorithms used to carry out algorithmic trading Learn to build your own algorithmic trading robots which require no human intervention Book Description It's now harder than ever to get a significant edge over competitors in terms of speed and efficiency when it comes to algorithmic trading. Relying on sophisticated trading signals, predictive models and strategies can make all the difference. This book will guide you through these aspects, giving you insights into how modern electronic trading markets and participants operate. You'll start with an introduction to algorithmic trading, along with setting up the environment required to perform the tasks in the book. You'll explore the key components of an algorithmic trading business and aspects you'll need to take into account before starting an automated trading project. Next, you'll focus on designing, building and operating the components required for developing a practical and profitable algorithmic trading business. Later, you'll learn how quantitative trading signals and strategies are developed, and also implement and analyze sophisticated trading strategies such as volatility strategies, economic release strategies, and statistical arbitrage. Finally, you'll create a trading bot from scratch using the algorithms built in the previous sections. By the end of this book, you'll be well-versed with electronic trading markets and have learned to implement, evaluate and safely operate algorithmic trading strategies in live markets. What you will learn Understand the components of modern algorithmic trading systems and strategies Apply machine learning in algorithmic trading signals and strategies using Python Build, visualize and analyze trading strategies based on mean reversion, trend, economic releases and more Quantify and build a risk management system for Python trading strategies Build a backtester to run simulated trading strategies for improving the performance of your trading bot Deploy and incorporate trading strategies in the live market to maintain and improve profitability Who this book is for This book is for software engineers, financial traders, data analysts, and entrepreneurs. Anyone who wants to get started with algorithmic trading and understand how it works; and learn the components of a trading system, protocols and algorithms required for black box and gray box trading, and techniques for building a completely automated and profitable trading business will also find this book useful.
Download or read book Advances in Statistical Methodologies and Their Application to Real Problems written by Tsukasa Hokimoto and published by BoD – Books on Demand. This book was released on 2017-04-26 with total page 327 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years, statistical techniques and methods for data analysis have advanced significantly in a wide range of research areas. These developments enable researchers to analyze increasingly large datasets with more flexibility and also more accurately estimate and evaluate the phenomena they study. We recognize the value of recent advances in data analysis techniques in many different research fields. However, we also note that awareness of these different statistical and probabilistic approaches may vary, owing to differences in the datasets typical of different research fields. This book provides a cross-disciplinary forum for exploring the variety of new data analysis techniques emerging from different fields.
Download or read book What Money Can t Buy written by Michael J. Sandel and published by Farrar, Straus and Giroux. This book was released on 2012-04-24 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: Should we pay children to read books or to get good grades? Should we allow corporations to pay for the right to pollute the atmosphere? Is it ethical to pay people to test risky new drugs or to donate their organs? What about hiring mercenaries to fight our wars? Auctioning admission to elite universities? Selling citizenship to immigrants willing to pay? In What Money Can't Buy, Michael J. Sandel takes on one of the biggest ethical questions of our time: Is there something wrong with a world in which everything is for sale? If so, how can we prevent market values from reaching into spheres of life where they don't belong? What are the moral limits of markets? In recent decades, market values have crowded out nonmarket norms in almost every aspect of life—medicine, education, government, law, art, sports, even family life and personal relations. Without quite realizing it, Sandel argues, we have drifted from having a market economy to being a market society. Is this where we want to be?In his New York Times bestseller Justice, Sandel showed himself to be a master at illuminating, with clarity and verve, the hard moral questions we confront in our everyday lives. Now, in What Money Can't Buy, he provokes an essential discussion that we, in our market-driven age, need to have: What is the proper role of markets in a democratic society—and how can we protect the moral and civic goods that markets don't honor and that money can't buy?
Download or read book Winning Now Winning Later written by David M. Cote and published by HarperCollins Leadership. This book was released on 2020-06-30 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: From local coffee shops to the largest Fortune 500 companies, everyone is struggling to make the impossible choice between chasing short-term objectives and creating a secure future for their company. David Cote understood this dilemma and rejected it. In these pages, he shows you how taking the same revolutionary approach might be the smartest business decision you’ll ever make. This book reveals the bold the operational reforms and counterintuitive leadership practices you can put into practice that will allow you to do two conflicting things at the same time—pursue strong short- and long-term results. This tested and proven approach can strengthen your business like never before, and even rescue it from the brink of disaster no matter how dire the current circumstances may seem. In Winning Now, Winning Later, Cote shares 10 essential principles for winning today and tomorrow such as: Spot practices that seem attractive in the short term but will cost the company in the future Determine where and how to invest in growth for maximum impact Sustain both short-term performance and long-term investments even in challenging times, such as during recessions and leadership transitions Feel inspired to stand up to investors and other managers who are solely focused on either short- or long-term objectives Step back, think independently, and foster independent thinking among others around you Presenting a comprehensive solution to a perennial problem, Winning Now, Winning Later is a go-to guide for you and leaders everywhere to finally transcend short-termism’s daily grind and leave an enduring legacy of success.
Download or read book High frequency Trading written by David Easley and published by . This book was released on 2013-09-30 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt:
