Econophysics of Order-driven Markets: Proceedings of by Fabrizio Pomponio, Frédéric Abergel (auth.), Frédéric

By Fabrizio Pomponio, Frédéric Abergel (auth.), Frédéric Abergel, Bikas K. Chakrabarti, Anirban Chakraborti, Manipushpak Mitra (eds.)

The basic target of the booklet is to offer the information and examine findings of lively researchers from a variety of groups (physicists, economists, mathematicians, monetary engineers) operating within the box of "Econophysics", who've undertaken the duty of modelling and interpreting order-driven markets. Of fundamental curiosity in those reviews are the mechanisms resulting in the statistical regularities ("stylized facts") of cost records. effects bearing on different very important matters akin to market effect, the profitability of buying and selling ideas, or mathematical models for microstructure results, also are provided. a number of top researchers in those fields record on their contemporary paintings and likewise assessment the modern literature. a few old views, reviews and debates on fresh concerns in Econophysics study also are included.

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Additional resources for Econophysics of Order-driven Markets: Proceedings of Econophys-Kolkata V

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In particular, the trading volume distribution does not follow a Levy-stable form. It has been suggested that, in the developed markets, the Levy-stability of the Vt distribution is a consequence of the Levy-stable trade size (q) distribution. Thus, a reason for the deviation of the volume distribution from Levy-stability could be inferred by looking at Eq. (1). If the distribution of qi is Levy-stable but not that of Nt , the heavier tail of the former distribution would appear to dominate the nature of the tail of the Vt distribution.

Springer, Milan 24. 0628 25. Sinha S, Pan R K (2006) The power (law) of Indian markets: Analysing NSE and BSE trading statistics. In: Chatterjee A, Chakrabarti B K (eds) Econophysics of Stock and Other Markets. Springer, Milan 26. Pan RK, Sinha S (2007) Collective behavior of stock price movements in an emerging market, Phys Rev E 76:046116 27. National Stock Exchange (2004) Indian securities market: A review. nseindia. zip) 28. com/ 29. Clauset A, Shalizi CR, Newman MEJ (2009) Power-law distributions in empirical data, SIAM Review 51:661-703 30.

Another interesting point is that the percentages are distributed symmetrically around the half a cent price improvement. This comforts us in the method we used to calculate the price improvement. 0049), with a maximum clearly located at the first bar. This observation seems to confirm Bright Trading’s opinion on sub-penny trading, a simple strategy used to step ahead of protected limit orders. 2 Correlation with the Stock’s Price Our next result about the importance of sub-penny trading concerns the understanding of the characteristics of the stocks on which this strategy concentrates.

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