Limit Order Books (Physics of Society: Econophysics and Sociophysics)

Limit Order Books (Physics of Society: Econophysics and Sociophysics)

By: Anirban Chakraborti (author), Marouane Anane (author), Aymen Jedidi (author), Frederic Abergel (author), Ioane Muni Toke (author)Hardback

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This book discusses several models of limit order books and introduces a general, flexible open-source library, useful to readers studying trading strategies in order-driven markets. It begins by assessing relevant empirical data, moves on to mathematical models, in order to reproduce observed properties, and finally presents a framework for numerical simulations. It covers some of the important modelling techniques in detail, including agent-based modelling, advanced modelling of limit order books based on Hawkes processes, Jaisson and Rosenbaum theories, and LLOB models. The book also provides in-depth coverage of simulation techniques, such as numerical simulation and the limit order book simulator. It will be useful to graduate students in the fields of econophysics, financial mathematics, actuarial mathematics and high frequency financial data.

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About Author

Frederic Abergel is Professor and Director at the Laboratory of Mathematics Applied to Systems, Centrale Supelec, France. He holds a PhD in Mathematics from the Universite Paris-Sud. He began his career as a CNRS scientist at the Universite Paris-Sud and gained several years of industrial experience in investment banking at BNP Paribas, CAI Cheuvreux, Barclays Capital and Natixis CIB. His areas of research include financial markets, pricing and hedging of derivatives, quantitative finance and empirical properties of financial data. Anirban Chakraborti is Professor and Dean of the School of Computational and Integrative Sciences, Jawaharlal Nehru University. He holds a PhD in Physics from the Saha Institute of Nuclear Physics. He has held several academic and research positions at the Saha Institute of Nuclear Physics, the Helsinki University of Technology, Brookhaven National Laboratory, Banaras Hindu University and the Ecole Centrale Paris. In 2009, he received the Young Scientist Medal from the Indian National Science Academy. His areas of research include econophysics, statistical physics and quantum physics. Aymen Jedidi holds a PhD in Applied Mathematics from the Ecole Centrale Paris. His research interests are quantitative risk management and stochastic order book modelling. Ioane Muni Toke is Associate Professor and Dean of Studies at the Universite de la Nouvelle-Caledonie, New Caledonia. He holds a PhD in Applied Mathematics from the Ecole Centrale Paris. He has held academic and research positions at the Ecole Centrale Paris and the University of Texas, Dallas. His research interests include financial markets modelling and microstructure, quantitative finance, statistical finance, applied mathematics and applied probability. Marouane Anane is a Quantitative Analyst at BNP Paribas, Paris. He holds a PhD in Applied Mathematics from the Ecole Centrale Paris. His research interests include market-making strategies, price dynamics and automated technical analysis.


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.

Product Details

  • publication date: 01/05/2016
  • ISBN13: 9781107163980
  • Format: Hardback
  • Number Of Pages: 238
  • ID: 9781107163980
  • weight: 650
  • ISBN10: 1107163986

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