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Limit Order Books

Af: Marouane Anane, Ioane Muni Toke, Anirban Chakraborti, Frederic Abergel, Aymen Jedidi Engelsk Hardback
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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.
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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.
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Se mere i:
Produktdetaljer
Sprog: Engelsk
Sider: 238
ISBN-13: 9781107163980
Indbinding: Hardback
Udgave:
ISBN-10: 1107163986
Kategori: Finans
Udg. Dato: 9 maj 2016
Længde: 18mm
Bredde: 254mm
Højde: 194mm
Forlag: Cambridge University Press
Oplagsdato: 9 maj 2016
Forfatter(e): Marouane Anane, Ioane Muni Toke, Anirban Chakraborti, Frederic Abergel, Aymen Jedidi
Forfatter(e) Marouane Anane, Ioane Muni Toke, Anirban Chakraborti, Frederic Abergel, Aymen Jedidi

Kategori Finans

ISBN-13 9781107163980

Sprog Engelsk

Indbinding Hardback

Sider 238

Udgave

Længde 18mm

Bredde 254mm

Højde 194mm

Udg. Dato 9 maj 2016

Oplagsdato 9 maj 2016

Forlag Cambridge University Press

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