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About this product
- DescriptionThis text presents different models of limit order books and introduces a flexible open-source library, useful to those studying trading strategies.
- Author BiographyFrederic 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, pricing and hedging of derivatives, quantitative finance and empirical properties of financial data. Marouane Anane is a Quantitative Analyst at BNP Paribas, Paris. He holds a Ph.D. in Applied Mathematics from the Ecole Centrale Paris. His research interests include market-making strategies, price dynamics and automated technical analysis. Anirban Chakraborti is Professor and Dean of the School of Computational and Integrative Sciences, Jawaharlal Nehru University. He holds a Ph.D. in Physics from the Saha Institute of Nuclear Physics. He has held several academic and research positions at the Saha Institute of Nuclear Physics, the Helsinki University of Technology, Brookhaven National Laboratory, Banaras Hindu University and the Ecole Centrale Paris. In 2009, he received the Young Scientist Medal from the Indian National Science Academy. His areas of research include econophysics, statistical physics and quantum physics. Aymen Jedidi is a Quantitative Analyst at HSBC Bank, Paris. He holds a Ph.D. in Applied Mathematics from the Ecole Centrale Paris. His research interests are quantitative risk management and stochastic order book modelling. Ioane Muni Toke is Associate Professor and Dean of Studies at the Universite de la Nouvelle-Caledonie, New Caledonia. He holds a Ph.D. in Applied Mathematics from the Ecole Centrale Paris. He has held academic and research positions at the Ecole Centrale Paris and the University of Texas, Dallas. His research interests include financial markets modelling and microstructure, quantitative finance, statistical finance, applied mathematics and applied probability.
- Author(s)Anirban Chakraborti,Aymen Jedidi,Frederic Abergel,Ioane Muni Toke,Marouane Anane
- PublisherCambridge University Press
- Date of Publication01/05/2016
- GenreScience & Mathematics: Textbooks & Study Guides
- Series TitlePhysics of Society: Econophysics and Sociophysics
- Place of PublicationCambridge
- Country of PublicationUnited Kingdom
- ImprintCambridge University Press
- Weight650 g
- Width170 mm
- Height244 mm
- Spine18 mm
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