Limit Order Books
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ISBN-13:
9781107163980
Veröffentl:
2016
Erscheinungsdatum:
09.05.2016
Seiten:
238
Autor:
Frédéric Abergel
Gewicht:
653 g
Format:
256x190x18 mm
Sprache:
Englisch
Beschreibung:
This text presents different models of limit order books and introduces a flexible open-source library, useful to those studying trading strategies.
Foreword; Preface; Acknowledgements; List of tables; List of figures; 1. A short introduction to limit order books; 2. Statistical properties of limit order books: a survey; 3. The order book shape as a function of the average size of limit orders; 4. Empirical evidence of market making and market taking; 5. Agent-based modelling of limit order books: a survey; 6. The mathematical structure of zero-intelligence limit order book models; 7. The order book as a queueing system; 8. Advanced modelling of limit order books; 9. Numerical simulation of limit order books; 10. Market imperfection and predictability; Appendix A. A catalogue of order types on financial markets; Appendix B. Limit order book data; Appendix C. Some useful mathematical notions; Appendix D. Comparison of various prediction methods; Bibliography; Index.
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