Econophysics of Order-driven Markets PDF Download
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Author: Frédéric Abergel
Publisher: Springer Science & Business Media
ISBN: 8847017661
Category : Business & Economics
Languages : en
Pages : 316
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Book Description
The primary goal of the book is to present the ideas and research findings of active researchers from various communities (physicists, economists, mathematicians, financial engineers) working in the field of "Econophysics", who have undertaken the task of modelling and analyzing order-driven markets. Of primary interest in these studies are the mechanisms leading to the statistical regularities ("stylized facts") of price statistics. Results pertaining to other important issues such as market impact, the profitability of trading strategies, or mathematical models for microstructure effects, are also presented. Several leading researchers in these fields report on their recent work and also review the contemporary literature. Some historical perspectives, comments and debates on recent issues in Econophysics research are also included.
Author: Frédéric Abergel
Publisher: Springer Science & Business Media
ISBN: 8847017661
Category : Business & Economics
Languages : en
Pages : 316
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Book Description
The primary goal of the book is to present the ideas and research findings of active researchers from various communities (physicists, economists, mathematicians, financial engineers) working in the field of "Econophysics", who have undertaken the task of modelling and analyzing order-driven markets. Of primary interest in these studies are the mechanisms leading to the statistical regularities ("stylized facts") of price statistics. Results pertaining to other important issues such as market impact, the profitability of trading strategies, or mathematical models for microstructure effects, are also presented. Several leading researchers in these fields report on their recent work and also review the contemporary literature. Some historical perspectives, comments and debates on recent issues in Econophysics research are also included.
Author: Friedel Bolle
Publisher: Springer Science & Business Media
ISBN: 3642574580
Category : Business & Economics
Languages : en
Pages : 259
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Book Description
Experimental Economics has experienced a steadily growing interest by economists during the last decade. This may not surprise since laboratory and field experiments obviously provide a further valuable source of empirical evidence of economic behavior besides statistics, econometrics, polls, interviews and simulations. In an overview of the recent developments in Experimental Economics, the present book concentrates on three central themes standing in the actual research focus: bargaining, cooperation and election markets. For each one of these topics the volume presents several state-of-the-art survey articles by experts in the field, accompanied by detailed comments. While the experimental approach sheds new light on the microeconomic standard topics of bargaining and cooperation, the election market approach as a new field may provide better forecasts for political elections - and for soccer World Championships.
Author: Ramzi Suleiman
Publisher: Physica
ISBN:
Category : Business & Economics
Languages : en
Pages : 408
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Book Description
This book provides an overview of soical science simulation as a tool for modelling and theory building. It is shown how simulation may be applied to the analysis of social and economic problems using techniques such as multi-agent simulation, cellular automata and multi-level modelling. Particular attention is paid to the sensitivity analysis of model parameters. The book also describes the architecture and user interfaces of several simulation tools. The book is based on an international conference that brought together social scientists and computer scientists engaged in a wide range of simulation approaches. It represents a report on the state of the art in social science simulation.
Author: Kurt Bauknecht
Publisher: Springer
ISBN: 3540447008
Category : Computers
Languages : en
Pages : 358
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Book Description
We welcome you to the Second International Conference on E commerce and Web Technology (ECWEB 2001) held in conjunction with DEXA 2001 in Munich, Germany. This conference, now in its second year, is a forum to bring together researchers from academia and commercial developers from industry to discuss the state of the art in E commerce and web technology and explore new ideas. We thank you all for coming to Munich to participate and debate the new emerging advances in this area. The research presentation and discussion during the conference will help to exchange new ideas among the researchers, developers, and practitioners. The conference program consists of an invited talk by Hannes Werthner, University of Trento, Italy, as well as the technical sessions. The regular sessions cover topics from XML Transformations and Web Development to User Behavior and Case Studies. The workshop has attracted more than 80 papers and each paper has been reviewed by at least 3 program committee members for its merit. The program committee have selected 31 papers for presentation. We would like to express our thanks to the people who helped put together the technical program: the program committee members and external reviewers for their timely and rigorous reviews of the papers, the DEXA organizing committee for their help in administrative work and support, and special thanks to Gabriela Wagner for always responding promptly.
Author: Daniel Baier
Publisher: Springer Science & Business Media
ISBN: 3540283978
Category : Mathematics
Languages : en
Pages : 361
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Book Description
It is a great privilege and pleasure to write a foreword for a book honor ing Wolfgang Gaul on the occasion of his sixtieth birthday. Wolfgang Gaul is currently Professor of Business Administration and Management Science and the Head of the Institute of Decision Theory and Management Science, Faculty of Economics, University of Karlsruhe (TH), Germany. He is, by any measure, one of the most distinguished and eminent scholars in the world today. Wolfgang Gaul has been instrumental in numerous leading research initia tives and has achieved an unprecedented level of success in facilitating com munication among researchers in diverse disciplines from around the world. A particularly remarkable and unique aspect of his work is that he has been a leading scholar in such diverse areas of research as graph theory and net work models, reliability theory, stochastic optimization, operations research, probability theory, sampling theory, cluster analysis, scaling and multivariate data analysis. His activities have been directed not only at these and other theoretical topics, but also at applications of statistical and mathematical tools to a multitude of important problems in computer science (e.g., w- mining), business research (e.g., market segmentation), management science (e.g., decision support systems) and behavioral sciences (e.g., preference mea surement and data mining). All of his endeavors have been accomplished at the highest level of professional excellence.
Author: Makoto Yokoo
Publisher: Springer
ISBN: 3540778098
Category : Technology & Engineering
Languages : en
Pages : 174
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Book Description
This book covers recent advances in electronic commerce research activities. It aims to encourage activities in this field, and to serve researchers with an interest in electronic commerce. This book is edited from some aspects of e-commerce researches including theoretical mechanism design of trading based on auctions, allocation mechanism based on negotiation among multi-agent, case-study and analysis of e-trading, data engineering issues in e-commerce, and so on.
Author:
Publisher:
ISBN:
Category : Electronic commerce
Languages : en
Pages : 282
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Book Description
Author: Junling Hu
Publisher:
ISBN:
Category :
Languages : en
Pages : 312
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Book Description
Author: Zbigniew Michalewicz
Publisher: Springer Science & Business Media
ISBN: 3540329293
Category : Computers
Languages : en
Pages : 249
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Book Description
Adaptive business intelligence systems combine prediction and optimization techniques to assist decision makers in complex, rapidly changing environments. These systems address fundamental questions: What is likely to happen in the future? What is the best course of action? Adaptive Business Intelligence explores elements of data mining, predictive modeling, forecasting, optimization, and adaptability. The book explains the application of numerous prediction and optimization techniques, and shows how these concepts can be used to develop adaptive systems. Coverage includes linear regression, time-series forecasting, decision trees and tables, artificial neural networks, genetic programming, fuzzy systems, genetic algorithms, simulated annealing, tabu search, ant systems, and agent-based modeling.
Author: Thierry Foucault
Publisher: Oxford University Press
ISBN: 0197542069
Category : Capital market
Languages : en
Pages : 531
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Book Description
"The process by which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. This book offers a more accurate and authoritative take on this process. The book starts from the assumption that not everyone is present at all times simultaneously on the market, and that participants have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus, a security's actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. The book takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. The authors draw on a vast body of theoretical insights and empirical findings on security price formation that have come to form a well-defined field within financial economics known as "market microstructure." Focusing on liquidity and price discovery, the book analyzes the tension between the two, pointing out that when price-relevant information reaches the market through trading pressure rather than through a public announcement, liquidity may suffer. It also confronts many striking phenomena in securities markets and uses the analytical tools and empirical methods of market microstructure to understand them. These include issues such as why liquidity changes over time and differs across securities, why large trades move prices up or down, and why these price changes are subsequently reversed, and why we observe temporary deviations from asset fair values"--
