Limit order books:
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 o...
Saved in:
| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Delhi
Cambridge University Press
2016
|
| Series: | Physics of society : econophysics and sociophysics
|
| Subjects: | |
| Links: | https://doi.org/10.1017/CBO9781316683040 https://doi.org/10.1017/CBO9781316683040 https://doi.org/10.1017/CBO9781316683040 |
| Summary: | 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 |
| Item Description: | Title from publisher's bibliographic system (viewed on 04 Jul 2016) |
| Physical Description: | 1 online resource (xxii, 217 pages) |
| ISBN: | 9781316683040 |
| DOI: | 10.1017/CBO9781316683040 |
Staff View
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| author | Abergel, Frédéric |
| author_facet | Abergel, Frédéric |
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| dewey-full | 332.64 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64 |
| dewey-search | 332.64 |
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| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| doi_str_mv | 10.1017/CBO9781316683040 |
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| id | DE-604.BV043946090 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-20T17:49:27Z |
| institution | BVB |
| isbn | 9781316683040 |
| language | English |
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| oclc_num | 967688265 |
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| owner | DE-12 DE-92 |
| owner_facet | DE-12 DE-92 |
| physical | 1 online resource (xxii, 217 pages) |
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| publishDate | 2016 |
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| publisher | Cambridge University Press |
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| series2 | Physics of society : econophysics and sociophysics |
| spelling | Abergel, Frédéric Verfasser aut Limit order books Frederic Abergel [and four others] Delhi Cambridge University Press 2016 1 online resource (xxii, 217 pages) txt rdacontent c rdamedia cr rdacarrier Physics of society : econophysics and sociophysics Title from publisher's bibliographic system (viewed on 04 Jul 2016) 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 Datenverarbeitung Stock exchanges / Data processing Securities / Data processing Securities / Prices Soziophysik (DE-588)7553558-0 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 s 1\p DE-604 Soziophysik (DE-588)7553558-0 s 2\p DE-604 Erscheint auch als Druckausgabe 978-1-107-16398-0 https://doi.org/10.1017/CBO9781316683040 Verlag URL des Erstveröffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Abergel, Frédéric Limit order books Datenverarbeitung Stock exchanges / Data processing Securities / Data processing Securities / Prices Soziophysik (DE-588)7553558-0 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)7553558-0 (DE-588)4017195-4 |
| title | Limit order books |
| title_auth | Limit order books |
| title_exact_search | Limit order books |
| title_full | Limit order books Frederic Abergel [and four others] |
| title_fullStr | Limit order books Frederic Abergel [and four others] |
| title_full_unstemmed | Limit order books Frederic Abergel [and four others] |
| title_short | Limit order books |
| title_sort | limit order books |
| topic | Datenverarbeitung Stock exchanges / Data processing Securities / Data processing Securities / Prices Soziophysik (DE-588)7553558-0 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Datenverarbeitung Stock exchanges / Data processing Securities / Data processing Securities / Prices Soziophysik Finanzmathematik |
| url | https://doi.org/10.1017/CBO9781316683040 |
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