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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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