Econophysics of Order-driven Markets : Proceedings of Econophys-Kolkata V

Online-Ressource (315 p.)

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Title Page; Copyright Page; Preface; Table of Contents; List of Contributors; Part I Order Book Data and Modelling; Trade-throughs: Empirical Facts and Application to Lead-lag Measures; 1 Introduction; 2 Data Presentation; 3 Some Statistics on Trade-throughs; 4 Spread Relaxation; 5 Lead-lag Parameter Estimation from Trade-throughs Time-Series; 6 Conclusions; References; Are the Trading Volume and the Number of Trades Distributions Universal?; 1 Introduction; 2 The Indian Financial Market; 3 Results; 4 Conclusions; References; Subpenny Trading in US Equity Markets

1 Equity Market Structure - Introduction2 Empirical Study; 3 Discussion; 4 Conclusions; References; "Market Making" in an Order Book Model and Its Impact on the Spread; 1 Introduction; 2 Empirical Evidence of "Market Making"; 3 Order Book Models with Mutually Exciting Order Flows; 4 Numerical Results on the Order Book; 5 Conclusions; References; Price-Time Priority and Pro Rata Matching in an Order Book Model of Financial Markets; 1 Introduction; 2 Continuous Double Auction and the Definition of the Order Book Model; 3 Matching Principles; 4 Conclusions; References

High-Frequency Simulations of an Order Book: a Two-scale Approach1 Introduction; 2 The Macroscopic Scale: a Mean Field Game Model of Agents' Views; 3 The Microscopic Scale: a Conditioned Zero-intelligence Model; 4 Conclusions; References; A Mathematical Approach to Order Book Modelling; 1 Introduction and Background; 2 An Elementary Approximation: Perfect Market Making; 3 Order Book Dynamics; 4 Infinitesimal Generator; 5 Price Dynamics; 6 Stationary State and Diffusive Limit; 7 Conclusions; References; Appendix A. Lyapunov Stochastic Stability Criterion; Appendix B. Figures

Reconstructing Agents' Strategies from Price Behavior1 Introduction; 2 The Minimal Model; 3 The Reconstruction Method; 4 Reconstruction for the Agent Model; 5 Analysis on Experimental Data; 6 Conclusions and Perspectives; References; Market Influence and Order Book Strategies; 1 Properties of the Single Asset Market Model; 2 Definition of the Agent-Based Limit Order Book Structure; 3 Dynamics and Structure of the Order Book; 4 Economic Implications; 5 Conclusions; References; Multi-Agent Order Book Simulation: Mono- and Multi-Asset High-Frequency Market Making Strategies; 1 Introduction

2 Market Models3 High Frequency Market Making Strategies; 4 Analysis; 5 Conclusions and Current Research; References; Part II High-Frequency Data and Modelling; The Nature of Price Returns During Periods of High Market Activity; 1 Introduction; 2 Data Description; 3 Realized Variance versus Number of Trades; 4 Single Trade Impact on the Midpoint Price; 5 From Fine to Coarse; 6 Conclusions; References; Tick Size and Price Diffusion; 1 Introduction; 2 Literature Review; 3 Tick Size and Price Diffusion; 4 Conclusions; References; High Frequency Correlation Modelling; 1 Introduction

2 A Model for High Frequency Correlation

10.1007/978-88-470-1766-5 [DOI]

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