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Econophysics of Order-driven Markets

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Cover of 'Econophysics of Order-driven Markets'

Table of Contents

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    Book Overview
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    Chapter 1 Trade-throughs: Empirical Facts and Application to Lead-lag Measures
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    Chapter 2 Are the Trading Volume and the Number of Trades Distributions Universal?
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    Chapter 3 Subpenny Trading in US Equity Markets
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    Chapter 4 “Market Making” in an Order Book Model and Its Impact on the Spread
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    Chapter 5 Price-Time Priority and Pro Rata Matching in an Order Book Model of Financial Markets
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    Chapter 6 High-Frequency Simulations of an Order Book: a Two-scale Approach
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    Chapter 7 A Mathematical Approach to Order Book Modelling
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    Chapter 8 Reconstructing Agents’ Strategies from Price Behavior
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    Chapter 9 Market Influence and Order Book Strategies
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    Chapter 10 Multi-Agent Order Book Simulation: Mono- and Multi-Asset High-Frequency Market Making Strategies
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    Chapter 11 The Nature of Price Returns During Periods of High Market Activity
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    Chapter 12 Tick Size and Price Diffusion
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    Chapter 13 High Frequency Correlation Modelling
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    Chapter 14 The Model with Uncertainty Zones for Ultra High Frequency Prices and Durations: Applications to Statistical Estimation and Mathematical Finance
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    Chapter 15 Exponential Resilience and Decay of Market Impact
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    Chapter 16 Modeling the non-Markovian, non-stationary scaling dynamics of financial markets
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    Chapter 17 The von Neumann-Morgenstern Utility Functions with Constant Risk Aversions
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    Chapter 18 Income and Expenditure Distribution. A Comparative Analysis
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    Chapter 19 Two Agent Allocation Problems and the First Best
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    Chapter 20 Opinion Formation in a Heterogenous Society
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    Chapter 21 Opinion Formation in the Kinetic Exchange Models
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    Chapter 22 Panel Discussion
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Title
Econophysics of Order-driven Markets
Published by
Springer Milan, April 2011
DOI 10.1007/978-88-470-1766-5
ISBNs
978-8-84-701765-8, 978-8-84-701766-5
Editors

Abergel, Frédéric, Chakrabarti, Bikas K., Chakraborti, Anirban, Mitra, Manipushpak

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Mendeley readers

Mendeley readers

The data shown below were compiled from readership statistics for 19 Mendeley readers of this research output. Click here to see the associated Mendeley record.

Geographical breakdown

Country Count As %
United States 1 5%
Colombia 1 5%
China 1 5%
Estonia 1 5%
Unknown 15 79%

Demographic breakdown

Readers by professional status Count As %
Student > Ph. D. Student 5 26%
Student > Bachelor 3 16%
Researcher 3 16%
Professor > Associate Professor 2 11%
Professor 1 5%
Other 2 11%
Unknown 3 16%
Readers by discipline Count As %
Economics, Econometrics and Finance 4 21%
Physics and Astronomy 4 21%
Computer Science 4 21%
Mathematics 1 5%
Psychology 1 5%
Other 1 5%
Unknown 4 21%