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Trades, Quotes and Prices
  • Language: en
  • Pages: 463

Trades, Quotes and Prices

A deep-dive into the heart of modern financial markets, the authors explore why and how people trade - and the consequences.

Trades, Quotes and Prices
  • Language: en
  • Pages: 463

Trades, Quotes and Prices

The widespread availability of high-quality, high-frequency data has revolutionised the study of financial markets. By describing not only asset prices, but also market participants' actions and interactions, this wealth of information offers a new window into the inner workings of the financial ecosystem. In this original text, the authors discuss empirical facts of financial markets and introduce a wide range of models, from the micro-scale mechanics of individual order arrivals to the emergent, macro-scale issues of market stability. Throughout this journey, data is king. All discussions are firmly rooted in the empirical behaviour of real stocks, and all models are calibrated and evaluated using recent data from Nasdaq. By confronting theory with empirical facts, this book for practitioners, researchers and advanced students provides a fresh, new, and often surprising perspective on topics as diverse as optimal trading, price impact, the fragile nature of liquidity, and even the reasons why people trade at all.

A First Course in Random Matrix Theory
  • Language: en
  • Pages: 371

A First Course in Random Matrix Theory

An intuitive, up-to-date introduction to random matrix theory and free calculus, with real world illustrations and Big Data applications.

Theory of Financial Risk and Derivative Pricing
  • Language: en
  • Pages: 410

Theory of Financial Risk and Derivative Pricing

Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising theoretical developments in the field, this 2003 second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game. There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.

Market Microstructure
  • Language: en
  • Pages: 194

Market Microstructure

The latest cutting-edge research on market microstructure Based on the December 2010 conference on market microstructure, organized with the help of the Institut Louis Bachelier, this guide brings together the leading thinkers to discuss this important field of modern finance. It provides readers with vital insight on the origin of the well-known anomalous "stylized facts" in financial prices series, namely heavy tails, volatility, and clustering, and illustrates their impact on the organization of markets, execution costs, price impact, organization liquidity in electronic markets, and other issues raised by high-frequency trading. World-class contributors cover topics including analysis of high-frequency data, statistics of high-frequency data, market impact, and optimal trading. This is a must-have guide for practitioners and academics in quantitative finance.

Theory of Financial Risks
  • Language: en
  • Pages: 218

Theory of Financial Risks

  • Type: Book
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  • Published: 2000
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  • Publisher: Unknown

"This book summarizes recent theoretical developments inspired by statistical physics in the description of the potential moves in financial markets, and its application to derivative pricing and risk control. The possibility of accessing and processing huge quantities of data on financial markets opens the path to new methodologies where systematic comparison between theories and real data not only becomes possible, but mandatory. This book takes a physicist's point of view of financial risk by comparing theory with experiment. Starting with important results in probability theory the authors discuss the statistical analysis of real data, the empirical determination of statistical laws, the definition of risk, the theory of optimal portfolio and the problem of derivatives (forward contracts, options). This book will be of interest to physicists interested in finance, quantitative analysts in financial institutions, risk managers and graduate students in mathematical finance."--Publisher's description.

A First Course in Random Matrix Theory
  • Language: en
  • Pages: 371

A First Course in Random Matrix Theory

The real world is perceived and broken down as data, models and algorithms in the eyes of physicists and engineers. Data is noisy by nature and classical statistical tools have so far been successful in dealing with relatively smaller levels of randomness. The recent emergence of Big Data and the required computing power to analyse them have rendered classical tools outdated and insufficient. Tools such as random matrix theory and the study of large sample covariance matrices can efficiently process these big data sets and help make sense of modern, deep learning algorithms. Presenting an introductory calculus course for random matrices, the book focusses on modern concepts in matrix theory, generalising the standard concept of probabilistic independence to non-commuting random variables. Concretely worked out examples and applications to financial engineering and portfolio construction make this unique book an essential tool for physicists, engineers, data analysts, and economists.

Complex Systems
  • Language: en
  • Pages: 527

Complex Systems

  • Type: Book
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  • Published: 2011-09-22
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  • Publisher: Elsevier

There has been recently some interdisciplinary convergence on a number of precise topics which can be considered as prototypes of complex systems. This convergence is best appreciated at the level of the techniques needed to deal with these systems, which include: 1) A domain of research around a multiple point where statistical physics, information theory, algorithmic computer science, and more theoretical (probabilistic) computer science meet: this covers some aspects of error correcting codes, stochastic optimization algorithms, typical case complexity and phase transitions, constraint satisfaction problems. 2) The study of collective behavior of interacting agents, its impact on understa...

Dynamical Heterogeneities in Glasses, Colloids, and Granular Media
  • Language: en
  • Pages: 562

Dynamical Heterogeneities in Glasses, Colloids, and Granular Media

  • Type: Book
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  • Published: 2011-07-14
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  • Publisher: OUP Oxford

Most of the solid materials we use in everyday life, from plastics to cosmetic gels exist under a non-crystalline, amorphous form: they are glasses. Yet, we are still seeking a fundamental explanation as to what glasses really are and to why they form. In this book, we survey the most recent theoretical and experimental research dealing with glassy physics, from molecular to colloidal glasses and granular media. Leading experts in this field present broad and original perspectives on one of the deepest mysteries of condensed matter physics, with an emphasis on the key role played by heterogeneities in the dynamics of glassiness.

Lévy Statistics and Laser Cooling
  • Language: en
  • Pages: 218

Lévy Statistics and Laser Cooling

Laser cooling of atoms provides an ideal case study for the application of Lévy statistics in a privileged situation where the statistical model can be derived from first principles. This book demonstrates how the most efficient laser cooling techniques can be simply and quantitatively understood in terms of non-ergodic random processes dominated by a few rare events. Lévy statistics are now recognised as the proper tool for analysing many different problems for which standard Gaussian statistics are inadequate. Laser cooling provides a simple example of how Lévy statistics can yield analytic predictions that can be compared to other theoretical approaches and experimental results. The authors of this book are world leaders in the fields of laser cooling and light-atom interactions, and are renowned for their clear presentation. This book will therefore hold much interest for graduate students and researchers in the fields of atomic physics, quantum optics, and statistical physics.