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

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Multi-Agent Order Book Simulation: Mono- and Multi-Asset High-Frequency Market Making Strategiesnhance the model by taking into account such properties as the autocorrelation of trade signs, or the existence of informed traders. We then use Monte Carlo simulations to study the effects of those properties on some elementary market making strategies. Finally, we present some possible improvement

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Tick Size and Price Diffusion modified either because the exchange enforces an overall tick size change or because the price of the security is too low or too high. There is an extensive literature, partially reviewed in Sect. 2 of the present paper, on the role of tick size in the price formation process. However, the role and

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High Frequency Correlation Modellinge into account correlation between stocks when proceeding clients orders. However, not so much effort has been devoted to correlation modelling and only few empirical results are known about high frequency correlation. Depending on the time scale under consideration, a plausible candidate for modell

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Exponential Resilience and Decay of Market Impactet impact admits price manipulation, an undesirable feature that should lead to rejection of the model. Subsequently, Alfonsi and Schied proved in [.] that their model of the order book which has nonlinear market impact and exponential resilience, is free of price manipulation. In this paper, we sho

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Tick Size and Price Diffusiontensive literature, partially reviewed in Sect. 2 of the present paper, on the role of tick size in the price formation process. However, the role and the importance of tick size has not been yet fully understood, as testified, for example, by a recent document of the Committee of European Securities Regulators (CESR) [.].