Physics of Society: Econophysics and Sociophysics: Limit Order Books
Frederic Abergel
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Description for Physics of Society: Econophysics and Sociophysics: Limit Order Books
hardcover. This text presents different models of limit order books and introduces a flexible open-source library, useful to those studying trading strategies. Series: Physics of Society: Econophysics and Sociophysics. Num Pages: 238 pages, illustrations. BIC Classification: PBW. Category: (P) Professional & Vocational. Dimension: 194 x 254 x 18. Weight in Grams: 664.
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 ... Read more
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 ... Read more
Product Details
Publisher
Cambridge University Press
Format
Hardback
Publication date
2016
Series
Physics of Society: Econophysics and Sociophysics
Condition
New
Weight
663g
Number of Pages
238
Place of Publication
Cambridge, United Kingdom
ISBN
9781107163980
SKU
V9781107163980
Shipping Time
Usually ships in 7 to 11 working days
Ref
99-15
About Frederic Abergel
Frederic Abergel is Professor and Chair of Quantitative Finance, CentraleSupelec, France. He holds a PhD in Mathematics from the Universite Paris-Sud. He began his career as a CNRS scientist at the Universite Paris-Sud and gained several years of industrial experience in investment banking at BNP Paribas, CAI Cheuvreux, Barclays Capital and Natixis CIB. His areas of research include financial markets, ... Read more
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