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...
Gespeichert in:
| Beteilige Person: | |
|---|---|
| Format: | E-Book |
| Sprache: | Englisch |
| Veröffentlicht: |
Delhi
Cambridge University Press
2016
|
| Schriftenreihe: | Physics of society : econophysics and sociophysics
|
| Links: | https://doi.org/10.1017/CBO9781316683040 |
| Zusammenfassung: | 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. |
| Umfang: | 1 Online-Ressource (xxii, 217 Seiten) |
| ISBN: | 9781316683040 |
Internformat
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Datensatz im Suchindex
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| id | ZDB-20-CTM-CR9781316683040 |
| illustrated | Not Illustrated |
| indexdate | 2025-03-19T15:54:06Z |
| institution | BVB |
| isbn | 9781316683040 |
| language | English |
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| series2 | Physics of society : econophysics and sociophysics |
| spelling | Abergel, Frédéric Limit order books Frederic Abergel [and four others] Delhi Cambridge University Press 2016 1 Online-Ressource (xxii, 217 Seiten) txt c cr Physics of society : econophysics and sociophysics 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. Erscheint auch als Druck-Ausgabe 9781107163980 |
| spellingShingle | Abergel, Frédéric Limit order books |
| 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 |
| work_keys_str_mv | AT abergelfrederic limitorderbooks |