標(biāo)題: Titlebook: Econophysics of Order-driven Markets; Frédéric Abergel (Chair of Quantitative Finance),B Book 2011 Springer Milan 2011 Econophysics.Financ [打印本頁] 作者: 弄混 時間: 2025-3-21 18:54
書目名稱Econophysics of Order-driven Markets影響因子(影響力)
書目名稱Econophysics of Order-driven Markets影響因子(影響力)學(xué)科排名
書目名稱Econophysics of Order-driven Markets網(wǎng)絡(luò)公開度
書目名稱Econophysics of Order-driven Markets網(wǎng)絡(luò)公開度學(xué)科排名
書目名稱Econophysics of Order-driven Markets被引頻次
書目名稱Econophysics of Order-driven Markets被引頻次學(xué)科排名
書目名稱Econophysics of Order-driven Markets年度引用
書目名稱Econophysics of Order-driven Markets年度引用學(xué)科排名
書目名稱Econophysics of Order-driven Markets讀者反饋
書目名稱Econophysics of Order-driven Markets讀者反饋學(xué)科排名
作者: 甜瓜 時間: 2025-3-21 21:42
High Frequency Correlation Modellinge into account correlation between stocks when proceeding clients orders. However, not so much effort has been devoted to correlation modelling and only few empirical results are known about high frequency correlation. Depending on the time scale under consideration, a plausible candidate for modelling correlation should:作者: brother 時間: 2025-3-22 03:50
The Model with Uncertainty Zones for Ultra High Frequency Prices and Durations: Applications to Stat give some results from [.] and [.] which show how it can be used in practice for statistical estimation or in order to hedge derivatives. Before introducing this model, we briefly recall the classical approaches of price modelling in the so-called microstructure noise literature.作者: Shuttle 時間: 2025-3-22 08:37 作者: cringe 時間: 2025-3-22 12:33
Computability of Design Diagramsnhance the model by taking into account such properties as the autocorrelation of trade signs, or the existence of informed traders. We then use Monte Carlo simulations to study the effects of those properties on some elementary market making strategies. Finally, we present some possible improvements of the strategies.作者: 不開心 時間: 2025-3-22 15:51 作者: 不開心 時間: 2025-3-22 17:05 作者: 音樂等 時間: 2025-3-22 22:39
C. Wright Mills and the Ending of Violencequantity available at the best limit. Order splitting allows traders not to reveal their intention to the market so as not to move too much the price against them. In this note, we focus on the other trades, called trade-throughs, which are trades that go through the best available price in the orde作者: FLOUR 時間: 2025-3-23 04:15 作者: antiquated 時間: 2025-3-23 08:42
Das professionelle Spielprogramm,t processes, Hawkes processes, has been the subject of various investigations in the financial community. In this paper, we propose to enhance a basic zero-intelligence order book simulator with arrival times of limit and market orders following mutually (asymmetrically) exciting Hawkes processes. M作者: 詞根詞綴法 時間: 2025-3-23 13:20 作者: periodontitis 時間: 2025-3-23 15:04 作者: flourish 時間: 2025-3-23 21:34 作者: corporate 時間: 2025-3-24 00:00
C4-Hydrocarbons and Derivatives study specific characteristics of order book markets. By controlling the descriptive time scale of the dynamics involved, I show how market impact, linear by definition, and trading strategies lead to precise pictures for clarifying order book dynamics, consistent with what is observed empirically.作者: 別炫耀 時間: 2025-3-24 04:27 作者: 枯萎將要 時間: 2025-3-24 08:24 作者: flavonoids 時間: 2025-3-24 14:03 作者: 概觀 時間: 2025-3-24 14:50
What Does Object-Oriented Technology Mean?,e into account correlation between stocks when proceeding clients orders. However, not so much effort has been devoted to correlation modelling and only few empirical results are known about high frequency correlation. Depending on the time scale under consideration, a plausible candidate for modell作者: Preserve 時間: 2025-3-24 20:57 作者: ingestion 時間: 2025-3-25 02:42 作者: 毗鄰 時間: 2025-3-25 06:19
Antonino Gomes de Sá,Joachim Rixions on their future volatility. As in several natural phenomena, the predictions of such a model must be compared with the data of a single process realization in our records. In order to give statistical significance to such a comparison, assumptions of stationarity for some quantities extracted f作者: Esophagitis 時間: 2025-3-25 08:46
https://doi.org/10.1057/9780230100589We study sub-penny trading in the US equity markets.作者: Anhydrous 時間: 2025-3-25 13:31 作者: 整潔 時間: 2025-3-25 18:12
Subpenny Trading in US Equity MarketsWe study sub-penny trading in the US equity markets.作者: 沒血色 時間: 2025-3-25 23:23
High-Frequency Simulations of an Order Book: a Two-scale ApproachModels of market microstructure at the order book scale can be split into two families:作者: 暴發(fā)戶 時間: 2025-3-26 03:32
https://doi.org/10.1007/978-88-470-1766-5Econophysics; Finance; Order-driven markets; partial differential equations作者: 母豬 時間: 2025-3-26 05:46 作者: BIAS 時間: 2025-3-26 11:09 作者: lymphoma 時間: 2025-3-26 15:47 作者: Defraud 時間: 2025-3-26 18:39 作者: cipher 時間: 2025-3-26 23:35
Antonino Gomes de Sá,Joachim Rix, provide a rich enough ensemble of histories. The statistics of this ensemble allows to propose and test an adequate model of the stochastic process driving the exchange rate. This turns out to be a non-Markovian, self-similar process with non-stationary returns. The empirical ensemble correlators 作者: CRASS 時間: 2025-3-27 04:02
2039-411X cent work and also review .the contemporary literature. Some historical perspectives, comments .and debates on recent issues in Econophysics research are also included..978-88-470-5816-3978-88-470-1766-5Series ISSN 2039-411X Series E-ISSN 2039-4128 作者: Altitude 時間: 2025-3-27 07:55
Are the Trading Volume and the Number of Trades Distributions Universal?ne having a power-law form. Instead, we use the concept of the stability of a distribution under temporal aggregation of data to show that both these distributions converge towards a Gaussian when considered at a time-scale of Δ. = 10 days. This appears to rule out the possibility that either of the作者: Fibrinogen 時間: 2025-3-27 10:45 作者: 凹室 時間: 2025-3-27 16:24
Modeling the Non-Markovian, Non-stationary Scaling Dynamics of Financial Markets, provide a rich enough ensemble of histories. The statistics of this ensemble allows to propose and test an adequate model of the stochastic process driving the exchange rate. This turns out to be a non-Markovian, self-similar process with non-stationary returns. The empirical ensemble correlators 作者: finite 時間: 2025-3-27 20:49 作者: CLEFT 時間: 2025-3-27 22:28 作者: agenda 時間: 2025-3-28 03:49
“Market Making” in an Order Book Model and Its Impact on the Spreadt processes, Hawkes processes, has been the subject of various investigations in the financial community. In this paper, we propose to enhance a basic zero-intelligence order book simulator with arrival times of limit and market orders following mutually (asymmetrically) exciting Hawkes processes. M作者: 移動 時間: 2025-3-28 09:46
Price-Time Priority and Pro Rata Matching in an Order Book Model of Financial Marketsiority and pro rata matching. Price-time priority uses the submission timestamp which prioritizes orders in the book with the same price. The order which was entered earliest at a given price limit gets executed first. Pro rata matching is used for products with low intraday volatility of best bid a作者: 讓步 時間: 2025-3-28 10:29
A Mathematical Approach to Order Book Modellingoisson processes. Our aim is to bridge the gap between the microscopic description of price formation (agent-based modelling), and the Stochastic Differential Equations approach used classically to describe price evolution in macroscopic time scales. To do this we rely on the theory of .. We motivat作者: Consequence 時間: 2025-3-28 15:25 作者: 主動 時間: 2025-3-28 21:05 作者: 無可爭辯 時間: 2025-3-29 00:15
Multi-Agent Order Book Simulation: Mono- and Multi-Asset High-Frequency Market Making Strategiesnhance the model by taking into account such properties as the autocorrelation of trade signs, or the existence of informed traders. We then use Monte Carlo simulations to study the effects of those properties on some elementary market making strategies. Finally, we present some possible improvement作者: 避開 時間: 2025-3-29 05:51 作者: AXIOM 時間: 2025-3-29 09:20
Tick Size and Price Diffusion modified either because the exchange enforces an overall tick size change or because the price of the security is too low or too high. There is an extensive literature, partially reviewed in Sect. 2 of the present paper, on the role of tick size in the price formation process. However, the role and作者: 駭人 時間: 2025-3-29 14:46
High Frequency Correlation Modellinge into account correlation between stocks when proceeding clients orders. However, not so much effort has been devoted to correlation modelling and only few empirical results are known about high frequency correlation. Depending on the time scale under consideration, a plausible candidate for modell作者: Obliterate 時間: 2025-3-29 16:51 作者: 獨裁政府 時間: 2025-3-29 21:25
Exponential Resilience and Decay of Market Impactet impact admits price manipulation, an undesirable feature that should lead to rejection of the model. Subsequently, Alfonsi and Schied proved in [.] that their model of the order book which has nonlinear market impact and exponential resilience, is free of price manipulation. In this paper, we sho作者: 滔滔不絕地說 時間: 2025-3-30 00:45 作者: MILK 時間: 2025-3-30 07:27
Tick Size and Price Diffusiontensive literature, partially reviewed in Sect. 2 of the present paper, on the role of tick size in the price formation process. However, the role and the importance of tick size has not been yet fully understood, as testified, for example, by a recent document of the Committee of European Securities Regulators (CESR) [.].作者: 軌道 時間: 2025-3-30 10:12 作者: olfction 時間: 2025-3-30 16:23
Das professionelle Spielprogramm,odelling is based on empirical observations on time intervals between orders that we verify on several markets (equity, bond futures, index futures). We show that this simple feature enables a much more realistic treatment of the bid-ask spread of the simulated order book.作者: 蠟燭 時間: 2025-3-30 17:15
Kondensator/Tiefpass (Objektorientierung)nd best ask price. Pro rata matching ensures constant access for orders of all sizes. We demonstrate how a multiagent-based model of financial market can be used to study microscopic aspects of order books.作者: 沙漠 時間: 2025-3-30 22:59 作者: deactivate 時間: 2025-3-31 01:15
“Market Making” in an Order Book Model and Its Impact on the Spreadodelling is based on empirical observations on time intervals between orders that we verify on several markets (equity, bond futures, index futures). We show that this simple feature enables a much more realistic treatment of the bid-ask spread of the simulated order book.
