Econophysics of Order-driven Markets [electronic resource] : Proceedings of Econophys-Kolkata V / edited by Frédéric Abergel, Bikas K. Chakrabarti, Anirban Chakraborti, Manipushpak Mitra.
By: Abergel, Frédéric [editor.].
Contributor(s): Chakrabarti, Bikas K [editor.] | Chakraborti, Anirban [editor.] | Mitra, Manipushpak [editor.] | SpringerLink (Online service).
Material type:
BookSeries: New Economic Windows: Publisher: Milano : Springer Milan : Imprint: Springer, 2011Description: XIV, 316 p. 60 illus. online resource.Content type: text Media type: computer Carrier type: online resourceISBN: 9788847017665.Subject(s): Economics | Differential equations, partial | Economics/Management Science | Economics/Management Science, general | Statistical Physics, Dynamical Systems and Complexity | Partial Differential EquationsDDC classification: 330 Online resources: Click here to access online
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Springer eBooksSummary: The primary goal of the book is to present the ideas and research findings of active researchers from various communities (physicists, economists, mathematicians, financial engineers) working in the field of "Econophysics", who have undertaken the task of modelling and analyzing order-driven markets. Of primary interest in these studies are the mechanisms leading to the statistical regularities ("stylized facts") of price statistics. Results pertaining to other important issues such as market impact, the profitability of trading strategies, or mathematical models for microstructure effects, are also presented. Several leading researchers in these fields report on their recent work and also review the contemporary literature. Some historical perspectives, comments and debates on recent issues in Econophysics research are also included.
The primary goal of the book is to present the ideas and research findings of active researchers from various communities (physicists, economists, mathematicians, financial engineers) working in the field of "Econophysics", who have undertaken the task of modelling and analyzing order-driven markets. Of primary interest in these studies are the mechanisms leading to the statistical regularities ("stylized facts") of price statistics. Results pertaining to other important issues such as market impact, the profitability of trading strategies, or mathematical models for microstructure effects, are also presented. Several leading researchers in these fields report on their recent work and also review the contemporary literature. Some historical perspectives, comments and debates on recent issues in Econophysics research are also included.
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