000			02351nam a22003498i 4500
001			CR9781316683040
003			UkCbUP
005			20200124160335.0
006			m|||||o||d||||||||
007			cr||||||||||||
008			160112s2016||||ii o ||1 0|eng|d
020			_a9781316683040 (ebook)
020			_z9781107163980 (hardback)
040			_aUkCbUP _beng _erda _cUkCbUP
050	0	0	_aHG4515.5 _b.A24 2016
082	0	0	_a332.64 _223
100	1		_aAbergel, Frédéric _eauthor.
245	1	0	_aLimit order books / _cFrederic Abergel [and four others].
264		1	_aDelhi : _bCambridge University Press, _c2016.
300			_a1 online resource (xxii, 217 pages) : _bdigital, PDF file(s).
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_aonline resource _bcr _2rdacarrier
490	0		_aPhysics of society : econophysics and sociophysics
500			_aTitle from publisher's bibliographic system (viewed on 04 Jul 2016).
520			_aA limit order book is essentially a file on a computer that contains all orders sent to the market, along with their characteristics such as the sign of the order, price, quantity and a timestamp. The majority of organized electronic markets rely on limit order books to store the list of interests of market participants on their central computer. A limit order book contains all the information available on a specific market and it reflects the way the market moves under the influence of its participants. This book discusses several models of limit order books. It begins by discussing the data to assess their empirical properties, and then moves on to mathematical models in order to reproduce the observed properties. Finally, the book presents a framework for numerical simulations. It also covers important modelling techniques including agent-based modelling, and advanced modelling of limit order books based on Hawkes processes. The book also provides in-depth coverage of simulation techniques and introduces general, flexible, open source library concepts useful to readers studying trading strategies in order-driven markets.
650		0	_aStock exchanges _xData processing.
650		0	_aSecurities _xData processing.
650		0	_aSecurities _xPrices.
776	0	8	_iPrint version: _z9781107163980
856	4	0	_uhttps://doi.org/10.1017/CBO9781316683040
999			_c522930 _d522928