Titlebook: Econophysics of Order-driven Markets; Frédéric Abergel (Chair of Quantitative Finance),B Book 2011 Springer Milan 2011 Econophysics.Financ

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Antonino Gomes de Sá,Joachim Rix, provide a rich enough ensemble of histories. The statistics of this ensemble allows to propose and test an adequate model of the stochastic process driving the exchange rate. This turns out to be a non-Markovian, self-similar process with non-stationary returns. The empirical ensemble correlators

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2039-411X cent work and also review .the contemporary literature. Some historical perspectives, comments .and debates on recent issues in Econophysics research are also included..978-88-470-5816-3978-88-470-1766-5Series ISSN 2039-411X Series E-ISSN 2039-4128

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Are the Trading Volume and the Number of Trades Distributions Universal?ne having a power-law form. Instead, we use the concept of the stability of a distribution under temporal aggregation of data to show that both these distributions converge towards a Gaussian when considered at a time-scale of Δ. = 10 days. This appears to rule out the possibility that either of the

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Modeling the Non-Markovian, Non-stationary Scaling Dynamics of Financial Markets, provide a rich enough ensemble of histories. The statistics of this ensemble allows to propose and test an adequate model of the stochastic process driving the exchange rate. This turns out to be a non-Markovian, self-similar process with non-stationary returns. The empirical ensemble correlators

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CLEFT

agenda

“Market Making” in an Order Book Model and Its Impact on the Spreadt processes, Hawkes processes, has been the subject of various investigations in the financial community. In this paper, we propose to enhance a basic zero-intelligence order book simulator with arrival times of limit and market orders following mutually (asymmetrically) exciting Hawkes processes. M

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Price-Time Priority and Pro Rata Matching in an Order Book Model of Financial Marketsiority and pro rata matching. Price-time priority uses the submission timestamp which prioritizes orders in the book with the same price. The order which was entered earliest at a given price limit gets executed first. Pro rata matching is used for products with low intraday volatility of best bid a

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A Mathematical Approach to Order Book Modellingoisson processes. Our aim is to bridge the gap between the microscopic description of price formation (agent-based modelling), and the Stochastic Differential Equations approach used classically to describe price evolution in macroscopic time scales. To do this we rely on the theory of .. We motivat