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  • 1
    Online Resource
    Online Resource
    Trades, quotes and prices : financial markets under the microscope (2018)
    Cambridge :Cambridge University Press,
    Details
    UID:
    almafu_9960118809102883
    Format: 1 online resource (xvii, 444 pages) : , digital, PDF file(s).
    ISBN: 1-316-99888-6 , 1-108-63906-2 , 1-316-65933-X
    Content: The widespread availability of high-quality, high-frequency data has revolutionised the study of financial markets. By describing not only asset prices, but also market participants' actions and interactions, this wealth of information offers a new window into the inner workings of the financial ecosystem. In this original text, the authors discuss empirical facts of financial markets and introduce a wide range of models, from the micro-scale mechanics of individual order arrivals to the emergent, macro-scale issues of market stability. Throughout this journey, data is king. All discussions are firmly rooted in the empirical behaviour of real stocks, and all models are calibrated and evaluated using recent data from Nasdaq. By confronting theory with empirical facts, this book for practitioners, researchers and advanced students provides a fresh, new, and often surprising perspective on topics as diverse as optimal trading, price impact, the fragile nature of liquidity, and even the reasons why people trade at all.
    Note: Title from publisher's bibliographic system (viewed on 26 Feb 2018). , Machine generated contents note: Preface; Part I. How and Why Do Prices Move?: 1. The ecology of financial markets; 2. The statistics of price changes: an informal primer; Part II. Limit Order Books: Introduction: 3. Limit order books; 4. Empirical properties of limit order books; Part III. Limit Order Books: Models: 5. Single-queue dynamics: simple models; 6. Single-queue dynamics for large-tick stocks; 7. Joint-queue dynamics for large-tick stocks; 8. The Santa Fe model for limit order books; Part IV. Clustering and Correlations: 9. Time clustering and Hawkes processes; 10. Long-range persistence of order flow; Part V. Price Impact: 11. The impact of market orders; 12. The impact of metaorders; Part VI. Six Market Dynamics at the Micro-scale: 13. The propagator model; 14. Generalised propagator models; Part VII. Adverse Selection and Liquidity Provision: 15. The Kyle model; 16. The determinants of the bid-ask spread; 17. The profitability of market making; Part VIII. Market Dynamics at the Meso-scale: 18. Latent liquidity and Walrasian auctions; 19. Impact dynamics in a continuous-time double auction; 20. The information content of prices; Part IX. Practical Consequences: 21. Optimal execution; 22. Market fairness and stability; 23. Appendices; Index.
    Additional Edition: ISBN 1-107-15605-X
    Language: English
    URL: Volltext
    URL: https://doi.org/10.1017/9781316659335
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    Online Access
    HU Berlin
    FU Berlin
    UB Potsdam
  • 2
    Online Resource
    Online Resource
    A first course in random matrix theory : for physicists, engineers and data scientists (2021)
    Cambridge :Cambridge University Press,
    Details
    UID:
    almafu_9960118497802883
    Format: 1 online resource (xx, 350 pages) : , digital, PDF file(s).
    ISBN: 1-108-84683-1 , 1-108-85827-9 , 1-108-76890-3
    Content: The real world is perceived and broken down as data, models and algorithms in the eyes of physicists and engineers. Data is noisy by nature and classical statistical tools have so far been successful in dealing with relatively smaller levels of randomness. The recent emergence of Big Data and the required computing power to analyse them have rendered classical tools outdated and insufficient. Tools such as random matrix theory and the study of large sample covariance matrices can efficiently process these big data sets and help make sense of modern, deep learning algorithms. Presenting an introductory calculus course for random matrices, the book focusses on modern concepts in matrix theory, generalising the standard concept of probabilistic independence to non-commuting random variables. Concretely worked out examples and applications to financial engineering and portfolio construction make this unique book an essential tool for physicists, engineers, data analysts, and economists.
    Note: Title from publisher's bibliographic system (viewed on 12 Nov 2020). , Determine matrices -- Wigner ensemble and semi-circle law -- More on Gaussian matrices -- Wishart ensemble and Marcenko-Pastur distribution -- Joint distribution of eigenvalues -- Eigenvalues and Orthogonal polynomials -- The Jacobi ensemble -- Addition of random variables & Brownian motion -- Dyson Brownian motion -- Addition of large random matrices -- Free probabilities -- Free random matrices -- The replica method -- Edge eigenvalues and outliers -- Addition and multiplication : recipes and examples -- Products of many random matrices -- Sample covariance matrices -- Bayesian estimation -- Eigenvector overlaps and rotationally invariant estimators -- Applications to finance.
    Additional Edition: ISBN 1-108-48808-0
    Additional Edition: Print version: Potters, Marc, 1969- A first course in random matrix theory Cambridge ; New York, NY : Cambridge University Press, 2020. ISBN 9781108488082
    Language: English
    Subjects: Mathematics
    RVK:
    SK 840
    RVK:
    SK 820
    Keywords: Lehrbuch
    URL: URL des Erstveröffentlichers
    URL: https://doi.org/10.1017/9781108768900
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    HU Berlin
    FU Berlin
    UB Potsdam
  • 3
    Online Resource
    Online Resource
    Complex systems : Ecole d'ete de Physique des Houches, session LXXXV, 3-28 July 2006 ; Ecole thematique du CNRS (2007)
    Boston, MA :Elsevier,
    Details
    UID:
    almahu_9949698022002882
    Format: 1 online resource (527 p.)
    Edition: 1st ed.
    ISBN: 1-281-05734-7 , 9786611057343 , 0-08-055059-2
    Series Statement: Les Houches
    Content: There has been recently some interdisciplinary convergence on a number of precise topics which can be considered as prototypes of complex systems. This convergence is best appreciated at the level of the techniques needed to deal with these systems, which include: 1) A domain of research around a multiple point where statistical physics, information theory, algorithmic computer science, and more theoretical (probabilistic) computer science meet: this covers some aspects of error correcting codes, stochastic optimization algorithms, typical case complexity and phase transitions, constr
    Note: Description based upon print version of record. , Front cover; Complex Systems; Copyright page; Previous sessions; Organizers; Lecturers; Seminar Speakers; Participants; Auditors; Preface; Contents; Course 1. Introduction to phase transitions in random optimization problems; 1. Introduction; 2. Basic concepts: overview of static phase transitions in K-XORSAT; 3. Advanced methods (I): replicas; 4. Advanced methods (II): cavity; 5. Dynamical phase transitions and search algorithms; 6. Conclusions; Appendix A. A primer on large deviations; Appendix B. Inequalities of first and second moments , Appendix C. Corrections to the saddle-point calculation of References; Course 2. Modern coding theory: the statistical mechanics and computer science point of view; 1. Introduction and outline; 2. Background: the channel coding problem; 3. Sparse graph codes; 4. The decoding problem for sparse graph codes; 5. Belief Propagation beyond coding theory; 6. Belief Propagation beyond the binary symmetric channel; 7. Open problems; Appendix A. A generating function calculation; References; Course 3. Mean field theory of spin glasses: statics and dynamics; 1. Introduction , 2. General considerations3. Mean field theory; 4. Many equilibrium states; 5. The explicit solution of the Sherrington Kirkpatrick model; 6. Bethe lattices; 7. Finite dimensions; 8. Some other applications; 9. Conclusions; References; Course 4. Random matrices, the Ulam Problem, directed polymers & growth models, and sequence matching; 1. Introduction; 2. Random matrices: the Tracy-Widom distribution for the largest eigenvalue; 3. The longest common subsequence problem (or the Ulam problem); 4. Directed polymers and growth models; 5. Sequence matching problem; 6. Conclusion; References , Course 5. Economies with interacting agents1. Introduction; 2. Models of segregation: a physical analogy; 3. Market relations; 4. Financial markets; 5. Contributions to public goods; 6. Conclusion; References; Course 6. Crackling noise and avalanches: scaling, critical phenomena, and the renormalization group; 1. Preamble; 2. What is crackling noise?; 3. Hysteresis and Barkhausen noise in magnets; 4. Why crackling noise?; 5. Self-similarity and its consequences; References; Course 7. Bootstrap and jamming percolation; 1. Introduction; 2. Bootstrap Percolation (BP); 3. Jamming Percolation (JP) , 4. Related stochastic modelsReferences; Course 8. Complex networks; 1. Introduction; 2. Network expansion and the small-world effect; 3. Degree distributions; 4. Further directions; References; Course 9. Minority games; 1. Introduction; 2. The minority game: definition and numerical simulations; 3. Exact solutions; 4. Application and extensions; 5. Conclusions; References; Course 10. Metastable states in glassy systems; 1. Introduction; 2. Mean-field Spin Glasses; 3. The complexity; 4. Supersymmetry breaking and structure of the states; 5. Models in finite dimension; 6. Conclusion; References , Course 11. Evolutionary dynamics , English
    Additional Edition: ISBN 0-444-53006-1
    Language: English
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    HU Berlin
    FU Berlin
    Charité
  • 4
    Online Resource
    Online Resource
    Theory of financial risk and derivative pricing : from statistical physics to risk management (2003)
    Cambridge :Cambridge University Press,
    Details
    UID:
    almahu_9948234147002882
    Format: 1 online resource (xx, 379 pages) : , digital, PDF file(s).
    Edition: Second edition.
    ISBN: 9780511753893 (ebook)
    Uniform Title: Theory of financial risks
    Content: Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising theoretical developments in the field, this 2003 second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game. There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.
    Note: Title from publisher's bibliographic system (viewed on 05 Oct 2015).
    Additional Edition: Print version: ISBN 9780521819169
    Language: English
    URL: https://doi.org/10.1017/CBO9780511753893
    URL: Volltext  (lizenzpflichtig)
    URL: Inhaltstext
    URL: https://doi.org/10.1017/CBO9780511753893
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    Online Access
    Stabi Berlin
    HU Berlin
    UB Potsdam
  • 5
    Book
    Book
    Theory of financial risks : from statistical physics to risk management (2001)
    Cambridge [u.a.] :Cambridge Univ. Press,
    Details
    UID:
    almafu_BV017440116
    Format: XIII, 218 S. : graph. Darst.
    Edition: 2. reprint
    ISBN: 0-521-78232-5
    Series Statement: Collection Aléa Saclay
    Language: English
    Subjects: Economics , Mathematics
    RVK:
    QK 600
    RVK:
    SK 980
    Keywords: Risikotheorie ; Kreditmarkt ; Risikomanagement ; Kreditmarkt ; Kapitalanlage ; Risiko
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  • 6
    Online Resource
    Online Resource
    Chapter 7. Agent-Based Models for Market Impact and Volatility (2018)
    Show associated volumes
    Details
    UID:
    gbv_1831640767
    ISBN: 9780444641328
    Content: Financial markets display a host of universal “stylized facts” begging for a scientific explanation: Excess volatility, fat tails, and clustered activity are well known and have been studied for many years. More microstructural stylized facts have recently emerged, for example the long memory of the order flow or the square-root dependence of impact on the volume of metaorders. Agent-based models are attempts to account for these stylized facts in a unified manner. Devising faithful microstructural ABMs would allow one to answer crucial questions, such as those related to market stability. Can large orders destabilize markets? Is HFT activity detrimental? Can destabilizing feedback loops be mitigated by adequate regulation? The present review paper summarizes recent work in that direction. We discuss in particular the Santa-Fe zero-intelligence model, which provides a very interesting benchmark, but suffers from important drawbacks as well, such as strong mean-reversion effects. One can enrich the Santa-Fe model as to reproduce both diffusive prices, and the square-root impact law. The underlying mechanism can be well understood in terms of a generic “reaction–diffusion” model for the dynamics of the liquidity, which can be solved analytically. Finally, we argue that the role of “information” is probably overstated in classical theories, while a picture based on a self-reflexive price-impacting order flow has many merits. The recent accumulation of microstructural stylized facts, allowing one to focus on the price formation mechanism, all but confirm that fundamental information plays a relatively minor role in the dynamics of financial markets, at least on short to medium time scales.
    In: Handbook of computational economics, Amsterdam : North Holland, 2018, (2018), Seite 393-436, 9780444641328
    In: 0444641327
    In: year:2018
    In: pages:393-436
    Language: English
    DOI: 10.1016/bs.hescom.2018.02.002
    URL: Volltext  (Deutschlandweit zugänglich)
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    Stabi Berlin
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  • 7
    Online Resource
    Online Resource
    Theory of financial risks : from statistical physics to risk management (2000)
    Cambridge [England] ; : Cambridge University Press,
    Details
    UID:
    almafu_9959231095802883
    Format: 1 online resource (234 p.)
    Edition: 1st ed.
    ISBN: 0-511-04623-5 , 0-511-15125-X , 0-511-01028-1
    Content: This book summarizes recent theoretical developments inspired by statistical physics in the description of the potential moves in financial markets, and its application to derivative pricing and risk control. This book will be of interest to physicists, quantitative analysts in financial institutions, risk managers and graduate students in mathematical finance.
    Note: Description based upon print version of record. , Preliminaries; Contents; Foreword; Preface; 1 Probability theory: basic notions; 2 Statistics of real prices; 3 Extreme risks and optimal portfolios; 4 Futures and options: fundamental concepts; 5 Options: some more specific problems; Short glossary of financial terms; Index of symbols; Index , English
    Additional Edition: ISBN 0-521-78232-5
    Language: English
    Keywords: Electronic books
    URL: FULL  ((OIS Credentials Required))
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    Online Resource
    FU Berlin
    Berlin International
  • 8
    Online Resource
    Online Resource
    Theory of financial risk and derivative pricing : from statistical physics to risk management (2003)
    Cambridge, UK ; : Cambridge University Press,
    Details
    UID:
    almafu_9959242940302883
    Format: 1 online resource (xx, 379 pages) : , digital, PDF file(s).
    Edition: 2nd ed.
    ISBN: 1-107-13568-0 , 1-139-63699-5 , 1-280-43057-5 , 0-511-16964-7 , 0-511-06997-9 , 0-511-20562-7 , 0-511-30848-5 , 0-511-75389-6 , 0-511-06151-X
    Uniform Title: Theory of financial risks
    Content: Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising theoretical developments in the field, this 2003 second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game. There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.
    Note: Rev. ed. of: Theory of financial risks. 2000. , Cover; Half-title; Title; Copyright; Contents; Foreword; Preface; 1 Probability theory: basic notions; 2 Maximum and addition of random variables; 3 Continuous time limit, Ito calculus and path integrals; 4 Analysis of empirical data; 5 Financial products and financial markets; 6 Statistics of real prices: basic results; 7 Non-linear correlations and volatility fluctuations; 8 Skewness and price-volatility correlations; 9 Cross-correlations; 10 Risk measures; 11 Extreme correlations and variety; 12 Optimal portfolios; 13 Futures and options: fundamental concepts , 14 Options: hedging and residual risk15 Options: The role of drift and correlations; 16 Options: the Black and Scholes model; 17 Options: some more specific problems; 18 Options: minimum variance Monte-Carlo; 19 The yield curve; 20 Simple mechanisms for anomalous price statistics; Index of most important symbols; Index , English
    Additional Edition: ISBN 0-521-74186-6
    Additional Edition: ISBN 0-521-81916-4
    Language: English
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    FU Berlin
  • 9
    Book
    Book
    Theory of financial risk and derivative pricing : from statistical physics to risk management (2003)
    Cambridge [u.a.] :Cambridge Univ. Press,
    Details
    UID:
    almafu_BV017446251
    Format: XX, 379 S. : graph. Darst.
    Edition: 2. ed.
    ISBN: 0-521-81916-4
    Note: Includes bibliographical references and index. - Previous ed.: published as Theory of financial risks. 2000
    Former: Früher u.d.T. Bouchaud, Jean-Philippe Theory of financial risks
    Language: English
    Subjects: Economics
    RVK:
    QK 600
    Keywords: Financial Engineering ; Risikomanagement ; Optionspreistheorie ; Risikotheorie ; Kreditmarkt ; Risikomanagement ; Kreditmarkt ; Kapitalanlage ; Risiko
    URL: Publisher description
    URL: Table of contents
    URL: Inhaltsverzeichnis
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  • 10
    Book
    Book
    Application of physics in economic modelling : proceedings of the NATO advanced research workshop held in Prague, Czech Republic, 8 - 10 February 2001 (2001)
    Amsterdam [u.a.] : North Holland
    Details
    UID:
    gbv_33664826X
    Format: XXIV, 355 S , Ill., graph. Darst
    Series Statement: Physica 299.2001,1/2
    Language: English
    Keywords: Wirtschaftsmodell ; Theoretische Physik ; Konferenzschrift
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