Econophysics of Order-driven Markets

ISBN 10: 8847058163 / ISBN 13: 9788847058163

Published by Springer, 2016

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Bibliographic Details

• Title: Econophysics of Order-driven Markets
• Publisher: Springer
• Publication Date: 2016
• Language: English
• ISBN 10: 8847058163
• ISBN 13: 9788847058163
• Binding: Soft cover
• Condition: Brand New

About this title

Synopsis

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.

About the Author

Bikas K. Chakrabarti is Senior Professor of Theoretical Condensed Matter Physics at the Saha Institute of Nuclear Physics, Kolkata, and Visiting Professor of Economics at the Indian Statistical Institute, Kolkata. He received his doctorate in physics from Calcutta University in 1979. Following postdoctoral positions at the University of Oxford and Cologne University, he joined SINP in 1983. His research interests include the physics of fracture, quantum glasses, and the interdisciplinary sciences of optimisation, brain modelling, and econophysics. He has written several books and reviews on these topics. Professor Chakrabarti is a recipient of the S. S. Bhatnagar Award (1997). He has also received the Outstanding Referee Award of the American Physical Society (2010).

Anirban Chakraborti is an Associate Professor at the Quantitative Finance Group, Ecole Centrale Paris. He has research interests in statistical physics, econophysics and quantum physics.

Manipushpak Mitra is a Professor of Economics at the Indian Statistical Institute, Kolkata, India. He has articles published in internationally known journals and edited books on cooperative game theory, mechanisms design in allocation problems and in market regulation problems, and industrial organization.