Limit Order Books

Name: Limit Order Books
Brand: Cambridge University Press
SKU: 9781107163980
Price: 1339 CZK
Availability: InStock

Autor: ABERGEL FREDERIC

Jazyk:

Vazba: Pevná

Vydavatel: Cambridge University Press

Dostupnost: Skladem u dodavatele

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1 339 Kč

This book discusses several models of limit order books and introduces a general, flexible open-sour...

Informace o knize

Autor

ABERGEL FREDERIC

Jazyk

Angličtina

Vazba

Kniha - Pevná

Vydáno

2016

Stránek

238

EAN

9781107163980

ISBN

9781107163980

Enbook ID

10006826

Vydavatel

Cambridge University Press

Hmotnost

652

Rozměry

254 x 194 x 18

Kompletní popis

This book discusses several models of limit order books and introduces a general, flexible open-source library, useful to readers studying trading strategies in order-driven markets. It begins by assessing relevant empirical data, moves on to mathematical models, in order to reproduce observed properties, and finally presents a framework for numerical simulations. It covers some of the important modelling techniques in detail, including agent-based modelling, advanced modelling of limit order books based on Hawkes processes, Jaisson and Rosenbaum theories, and LLOB models. The book also provides in-depth coverage of simulation techniques, such as numerical simulation and the limit order book simulator. It will be useful to graduate students in the fields of econophysics, financial mathematics, actuarial mathematics and high frequency financial data.

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Limit Order Books

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