Econophysics of Order-Driven Markets |
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| Editor:
| Abergel, édéric
Chakrabarti, Bikas K.
Chakraborti, Anirban
Mitra, Manipushpak |
| Series title: | New Economic Windows Ser. |
| ISBN: | 978-88-470-1765-8 |
| Publication Date: | Jan 2011 |
| Publisher: | Springer Milan
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| Imprint: | Springer |
| Book Format: | Hardback |
| List Price: | USD $139.99 |
Book Description:
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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....
More Description
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.