Econophysics of Order-driven Markets : Proceedings of Econophys-Kolkata V

**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.** Front Matter....Pages i-xv Front Matter....Pages 1-1 Trade-throughs: Empirical Facts and Application to Lead-lag Measures....Pages 3-16 Are the Trading Volume and the Number of Trades Distributions Universal?....Pages 17-30 Subpenny Trading in US Equity Markets....Pages 31-47 “Market Making” in an Order Book Model and Its Impact on the Spread....Pages 49-64 Price-Time Priority and Pro Rata Matching in an Order Book Model of Financial Markets....Pages 65-72 High-Frequency Simulations of an Order Book: a Two-scale Approach....Pages 73-92 A Mathematical Approach to Order Book Modelling....Pages 93-107 Reconstructing Agents’ Strategies from Price Behavior....Pages 109-124 Market Influence and Order Book Strategies....Pages 125-138 Multi-Agent Order Book Simulation: Mono- and Multi-Asset High-Frequency Market Making Strategies....Pages 139-152 Front Matter....Pages 153-153 The Nature of Price Returns During Periods of High Market Activity....Pages 155-172 Tick Size and Price Diffusion....Pages 173-187 High Frequency Correlation Modelling....Pages 189-202 The Model with Uncertainty Zones for Ultra High Frequency Prices and Durations: Applications to Statistical Estimation and Mathematical Finance....Pages 203-224 Exponential Resilience and Decay of Market Impact....Pages 225-236 Front Matter....Pages 237-237 Modeling the Non-Markovian, Non-stationary Scaling Dynamics of Financial Markets....Pages 239-252 The von Neumann-Morgenstern Utility Functions with Constant Risk Aversions....Pages 253-258 Income and Expenditure Distribution. A Comparative Analysis....Pages 259-269 Two Agent Allocation Problems and the First Best....Pages 271-275 Opinion Formation in a Heterogenous Society....Pages 277-288 Front Matter....Pages 237-237 Opinion Formation in the Kinetic Exchange Models....Pages 289-304 Panel Discussion....Pages 305-308 Back Matter....Pages 309-309 "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."--Publisher's website