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Econophysics of Order-driven Markets

Overview of attention for book
Cover of 'Econophysics of Order-driven Markets'

Table of Contents

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    Book Overview
  2. Altmetric Badge
    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
  16. Altmetric Badge
    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
Attention for Chapter 16: Modeling the non-Markovian, non-stationary scaling dynamics of financial markets
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Chapter title
Modeling the non-Markovian, non-stationary scaling dynamics of financial markets
Chapter number 16
Book title
Econophysics of Order-driven Markets
Published in
arXiv, September 2009
DOI 10.1007/978-88-470-1766-5_16
Book ISBNs
978-8-84-701765-8, 978-8-84-701766-5
Authors

Fulvio Baldovin, Dario Bovina, Francesco Camana, Attilio L. Stella, Baldovin, Fulvio, Bovina, Dario, Camana, Francesco, Stella, Attilio L.

X Demographics

X Demographics

The data shown below were collected from the profiles of 2 X users who shared this research output. Click here to find out more about how the information was compiled.
Mendeley readers

Mendeley readers

The data shown below were compiled from readership statistics for 11 Mendeley readers of this research output. Click here to see the associated Mendeley record.

Geographical breakdown

Country Count As %
Italy 1 9%
Unknown 10 91%

Demographic breakdown

Readers by professional status Count As %
Researcher 6 55%
Professor 2 18%
Unspecified 1 9%
Student > Master 1 9%
Unknown 1 9%
Readers by discipline Count As %
Physics and Astronomy 2 18%
Economics, Econometrics and Finance 2 18%
Unspecified 1 9%
Mathematics 1 9%
Computer Science 1 9%
Other 2 18%
Unknown 2 18%
Attention Score in Context

Attention Score in Context

This research output has an Altmetric Attention Score of 2. This is our high-level measure of the quality and quantity of online attention that it has received. This Attention Score, as well as the ranking and number of research outputs shown below, was calculated when the research output was last mentioned on 11 February 2012.
All research outputs
#14,597,689
of 22,662,201 outputs
Outputs from arXiv
#315,389
of 928,108 outputs
Outputs of similar age
#77,223
of 93,404 outputs
Outputs of similar age from arXiv
#368
of 532 outputs
Altmetric has tracked 22,662,201 research outputs across all sources so far. This one is in the 35th percentile – i.e., 35% of other outputs scored the same or lower than it.
So far Altmetric has tracked 928,108 research outputs from this source. They receive a mean Attention Score of 3.9. This one has gotten more attention than average, scoring higher than 65% of its peers.
Older research outputs will score higher simply because they've had more time to accumulate mentions. To account for age we can compare this Altmetric Attention Score to the 93,404 tracked outputs that were published within six weeks on either side of this one in any source. This one is in the 17th percentile – i.e., 17% of its contemporaries scored the same or lower than it.
We're also able to compare this research output to 532 others from the same source and published within six weeks on either side of this one. This one is in the 30th percentile – i.e., 30% of its contemporaries scored the same or lower than it.