UID:
almafu_9960117514102883
Umfang:
1 online resource (xxii, 217 pages) :
,
digital, PDF file(s).
Ausgabe:
First edition.
ISBN:
1-316-87068-5
,
1-316-68304-4
Serie:
Physics of Society
Inhalt:
A 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.
Anmerkung:
Title from publisher's bibliographic system (viewed on 04 Jul 2016).
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Cover -- Limit Order Books -- Title -- Copyright -- Contents -- Figures -- Tables -- Foreword -- Preface -- Acknowledgments -- CHAPETR 1 Introduction -- PART ONE EMPIRICAL PROPERTIES OF ORDER-DRIVEN MARKETS -- CHAPETR 2 Statistical Properties of Limit Order Books: A Survey -- 2.1 Introduction -- 2.2 Time of Arrivals of Orders -- 2.3 Volume of Orders -- 2.4 Placement of Orders -- 2.5 Cancellation of Orders -- 2.6 Average Shape of the Order Book -- 2.7 Intraday Seasonality -- 2.8 Conclusion -- CHAPETR 3 The Order Book Shape as a Function of the Order Size -- 3.1 Introduction -- 3.2 Methodology -- 3.3 The Regression Model -- 3.4 Conclusion -- CHAPETR 4 Empirical Evidence of Market Making and Taking -- 4.1 Introduction -- 4.2 Re-introducing Physical Time -- 4.3 Dependency Properties of Inter-arrival Times -- 4.3.1 Empirical evidence of market making -- 4.3.2 A reciprocal effect? -- 4.4 Further Insight into the Dependency Structure -- 4.4.1 The fine structure of inter-event durations: Using lagged correlation matrices -- 4.5 Conclusion -- PART TWO MATHEMATICAL MODELLING OF LIMIT ORDER BOOKS -- CHAPETR 5 Agent-based Modelling of Limit Order Books: A Survey -- 5.1 Introduction -- 5.2 Early Order-driven Market Modelling: Market Microstructure and Policy Issues -- 5.2.1 A pioneer order book model -- 5.2.2 Microstructure of the double auction -- 5.2.3 Zero-intelligence -- 5.3 Order-driven Market Modelling in Econophysics -- 5.3.1 The order book as a reaction-diffusion model -- 5.3.2 Introducing market orders -- 5.3.3 The order book as a deposition-evaporation process -- 5.4 Empirical Zero-intelligence Models -- 5.5 Some Analytical and Mathematical Developments in Zero-intelligence Order Book Modelling -- 5.6 Conclusion -- CHAPETR 6 The Mathematical Structure of Zero-intelligence Models -- 6.1 Introduction.
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6.1.1 An elementary approximation: Perfect market making -- 6.2 Order Book Dynamics -- 6.2.1 Model setup: Poissonian arrivals, reference frame and boundary conditions -- 6.2.2 Evolution of the order book -- 6.2.3 Infinitesimal generator -- 6.2.4 Price dynamics -- 6.3 Ergodicity and Diffusive Limit -- 6.3.1 Ergodicity of the order book -- 6.3.2 Large-scale limit of the price process -- 6.3.3 Interpreting the asymptotic volatility -- 6.4 The Role of Cancellations -- 6.5 Conclusion -- CHAPETR 7 The Order Book as a Queueing System -- 7.1 Introduction -- 7.2 A Link Between the Flows of Orders and the Shape of an Order Book -- 7.2.1 The basic one-sided queueing system -- 7.2.2 A continuous extension of the basic model -- 7.3 Comparison to Existing Results on the Shape of the Order Book -- 7.3.1 Numerically simulated shape in Smith et al. (2003) -- 7.3.2 Empirical and analytical shape in Bouchaud et al. (2002) -- 7.4 A Model with Varying Sizes of Limit Orders -- 7.5 Influence of the Size of Limit Orders on the Shape of the Order Book -- 7.6 Conclusion -- CHAPETR 8 Advanced Modelling of Limit Order Books -- 8.1 Introduction -- 8.2 Towards Non-trivial Behaviours: Modelling Market Interactions -- 8.2.1 Herding behaviour -- 8.2.2 Fundamentalists and trend followers -- 8.2.3 Threshold behaviour -- 8.2.4 Enhancing zero-intelligence models -- 8.3 Limit Order Book Driven by Hawkes Processes -- 8.3.1 Hawkes processes -- 8.3.2 Model setup -- 8.3.3 The infinitesimal generator -- 8.3.4 Stability of the order book -- 8.3.5 Large scale limit of the price process -- 8.4 Conclusion -- PART THREE SIMULATION OF LIMIT ORDER BOOKS -- CHAPETR 9 Numerical Simulation of Limit Order Books -- 9.1 Introduction -- 9.2 Zero-intelligence Limit Order Book Simulator -- 9.2.1 An algorithm for Poissonian order flows -- 9.2.2 Parameter estimation -- 9.2.3 Performances of the simulation.
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9.2.4 Anomalous diffusion at short time scales -- 9.2.5 Results for CAC 40 stocks -- 9.3 Simulation of a Limit Order Book Modelled by Hawkes Processes -- 9.3.1 Simulation of the limit order book in a simple Hawkes model -- 9.3.2 Algorithm for the simulation of a Hawkes process -- 9.3.3 Parameter estimation -- 9.3.4 Performances of the simulation -- 9.4 Market Making and Taking, Viewed from a Hawkes-process Perspective -- 9.5 Conclusion -- PART FOUR IMPERFECTION AND PREDICTABILITY IN ORDER-DRIVEN MARKETS -- CHAPETR 10 Market Imperfection and Predictability -- 10.1 Introduction -- 10.2 Objectives, Methodology and Performances Measures -- 10.2.1 Objectives -- 10.2.2 Methodology -- 10.2.3 Performance measures -- 10.3 Conditional Probability Matrices -- 10.3.1 Binary case -- 10.3.2 Four-class case -- 10.4 Linear Regression -- 10.4.1 Ordinary least squares (OLS) -- 10.4.2 Ridge regression -- 10.4.3 Least Absolute Shrinkage and Selection Operator (LASSO) -- 10.4.4 Elastic net (EN) -- 10.5 Conclusion -- APPENDIX A A Catalogue of Order Types -- APPENDIX B Limit Order Book Data -- B.1 Limit Order Book Data Processing -- B.2 Chapter 2 -- B.3 Chapter 3 -- B.4 Chapter 4 -- B.5 Distribution of Durations -- B.5.1 Lagged correlation matrix -- B.6 Chapter 9 -- APPENDIX C Some Useful Mathematical Notions -- C.1 Point Processes -- C.1.1 Hawkes processes -- C.2 Ergodic Theory for Markov Processes -- C.2.1 Stochastic stability -- C.2.2 The Ergodic Theorem and Martingale Convergence Theorem -- APPENDIX D Comparison of Various Prediction Methods -- D.1 Results for the Binary Classification -- D.2 Results for the Four-class Classification -- D.3 Performances of the OLS Method -- D.4 Performances of the Ridge Method -- D.5 Performances of the LASSO Method -- Bibliography.
,
English
Weitere Ausg.:
ISBN 1-107-16398-6
Sprache:
Englisch
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