Verfügbarkeit: Econophysics of order-driven markets | Technische Universität München

Econophysics of order-driven markets: proceedings of Econophys-Kolkata V

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Bibliographische Detailangaben
Körperschaft:	Econophys Kalkutta (VerfasserIn)
Weitere beteiligte Personen:	Abergel, Frédéric (HerausgeberIn)
Format:	Tagungsbericht Buch
Sprache:	Englisch
Veröffentlicht:	Milan [u.a.] Springer 2011
Schriftenreihe:	New economic windows
Schlagwörter:	Auktionsbörse Finanzmathematik Statistische Physik Konferenzschrift > 2010 > Kalkutta
Links:	http://deposit.dnb.de/cgi-bin/dokserv?id=3480669&prov=M&dok_var=1&dok_ext=htm http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020468739&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
Umfang:	XV, 308 S. graph. Darst.
ISBN:	9788847017658 9788847017665

Internformat

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Datensatz im Suchindex

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adam_text	Contents List of Contributors ................................................ xi Part I Order Book Data and Modelling Trade-throughs: Empirical Facts and Application to Lead-lag Measures 3 F. Pomponio, F. Abergel Are the Trading Volume and the Number of Trades Distributions Universal? ...................................................... Π V.S. Vijayaraghavan, S. Sinha Subpenny Trading in US Equity Markets ............................ 31 R. Delassus, S. Tyč Market Making in an Order Book Model and Its Impact on the Spread ................................................... 49 I. Muni Токе Price-Time Priority and Pro Rata Matching in an Order Book Model of Financial Markets ............................................. 65 T.Preis High-Frequency Simulations of an Order Book: a Two-scale Approach... 73 C.-A. Lehalle, O. Guéant, J. Razafinimanana A Mathematical Approach to Order Book Modelling .................. 93 F. Abergel, A. Jedidi Reconstructing Agents Strategies from Price Behavior ................109 V. Alfi, M. Castelli, L. Pietronero, A. Zaccaria Market Influence and Order Book Strategies......................... 125 F. Ghoulmié x Contents Multi-Agent Order Book Simulation: Mono- and Multi-Asset High-Frequency Market Making Strategies ..........................139 L. Foata, M. Vidhamali, F. Abergel Part Π High-Frequency Data and Modelling The Nature of Price Returns During Periods of High Market Activity -----155 K. Al Dayri, E. Bacry, J.F. Muzy Tick Size and Price Diffusion ......................................173 G. La Spada, J. Doyne Farmer, F. Lillo High Frequency Correlation Modelling ..............................189 N. Huth, F. Abergel The Model with Uncertainty Zones for Ultra High Frequency Prices and Durations: Applications to Statistical Estimation and Mathematical Finance .........................................................203 C.Y. Robert, M. Rosenbaum Exponential Resilience and Decay of Market Impact ..................225 J. Gatheral, A. Schied, A. Slynko Partiu Miscellaneous Modeling the Non-Markovian, Non-stationary Scaling Dynamics of Financial Markets .............................................239 F. Baldovin, D. Bovina, F. Camana, A.L. Stella The von Neumann-Morgenstern Utility Functions with Constant Risk Aversions .......................................................253 S.R. Chakravarty, D. Chakrabarti Income and Expenditure Distribution. A Comparative Analysis .........259 K. Gangopadhyay, B. Basu Two Agent Allocation Problems and the First Best ....................271 M. Mitra Opinion Formation in a Heterogenous Society ........................277 M.-T. Wolfram Opinion Formation in the Kinetic Exchange Models ...................289 A. Chakraborti, B.K. Chakrabarti Panel Discussion .................................................305
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spellingShingle	Econophysics of order-driven markets proceedings of Econophys-Kolkata V Auktionsbörse (DE-588)4581728-5 gnd Finanzmathematik (DE-588)4017195-4 gnd Statistische Physik (DE-588)4057000-9 gnd
subject_GND	(DE-588)4581728-5 (DE-588)4017195-4 (DE-588)4057000-9 (DE-588)1071861417
title	Econophysics of order-driven markets proceedings of Econophys-Kolkata V
title_auth	Econophysics of order-driven markets proceedings of Econophys-Kolkata V
title_exact_search	Econophysics of order-driven markets proceedings of Econophys-Kolkata V
title_full	Econophysics of order-driven markets proceedings of Econophys-Kolkata V Frédéric Abergel ... eds.
title_fullStr	Econophysics of order-driven markets proceedings of Econophys-Kolkata V Frédéric Abergel ... eds.
title_full_unstemmed	Econophysics of order-driven markets proceedings of Econophys-Kolkata V Frédéric Abergel ... eds.
title_short	Econophysics of order-driven markets
title_sort	econophysics of order driven markets proceedings of econophys kolkata v
title_sub	proceedings of Econophys-Kolkata V
topic	Auktionsbörse (DE-588)4581728-5 gnd Finanzmathematik (DE-588)4017195-4 gnd Statistische Physik (DE-588)4057000-9 gnd
topic_facet	Auktionsbörse Finanzmathematik Statistische Physik Konferenzschrift 2010 Kalkutta
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