Econophysics of order-driven markets: proceedings of Econophys-Kolkata V
Saved in:
| Corporate Author: | |
|---|---|
| Other Authors: | |
| Format: | Conference Proceedings Book |
| Language: | English |
| Published: |
Milan [u.a.]
Springer
2011
|
| Series: | New economic windows
|
| Subjects: | |
| 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 |
| Physical Description: | XV, 308 S. graph. Darst. |
| ISBN: | 9788847017658 9788847017665 |
Staff View
MARC
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Record in the Search Index
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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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| discipline | Wirtschaftswissenschaften |
| format | Conference Proceeding Book |
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| genre_facet | Konferenzschrift 2010 Kalkutta |
| id | DE-604.BV036547092 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T14:36:37Z |
| institution | BVB |
| institution_GND | (DE-588)16324965-9 |
| isbn | 9788847017658 9788847017665 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-020468739 |
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| physical | XV, 308 S. graph. Darst. |
| publishDate | 2011 |
| publishDateSearch | 2011 |
| publishDateSort | 2011 |
| publisher | Springer |
| record_format | marc |
| series2 | New economic windows |
| 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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