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Frédéric Abergel, Bikas K Chakrabarti, Anirban Chakraborti and Manipushpak Mitra, "Econophysics of Order-driven Markets"
Publisher: Springer | ISBN: 8847017653 | edition 2011 | PDF | 330 pages | 4.2 mb
The primary goal of the book is to present the ideas and research findings of active researchers from various communities (physicists, economists, mathematicians, financial engineers) working in the field of "Econophysics", who have undertaken the task of modelling and analyzing order-driven markets. Of primary interest in these studies are the mechanisms leading to the statistical regularities ("stylized facts") of price statistics. Results pertaining to other important issues such as market impact, the profitability of trading strategies, or mathematical models for microstructure effects, are also presented. Several leading researchers in these fields report on their recent work and also review the contemporary literature. Some historical perspectives, comments and debates on recent issues in Econophysics research are also included.
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Abergel (2011) Econophysics of Order-driven Markets.pdf
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