Limit order books and order-driven markets form one of the main fields in market microstructure, an area which has triggered a considerable amount of interest amongst both researchers and market practitioners. This text is devoted to the statistical, mathematical and numerical aspects of limit order books.
Limit order books and order-driven markets form one of the main fields in market microstructure, an area which has triggered a considerable amount of interest amongst both researchers and market practitioners. This text is devoted to the statistical, mathematical and numerical aspects of limit order books.
Frederic Abergel is Professor and Chair of Quantitative Finance, CentraleSupélec, France. He holds a PhD in Mathematics from the Université Paris-Sud. He began his career as a CNRS scientist at the Université 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.
Inhaltsangabe
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.
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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