Titlebook: Econophysics of Order-driven Markets; Frédéric Abergel (Chair of Quantitative Finance),B Book 2011 Springer Milan 2011 Econophysics.Financ

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C4-Hydrocarbons and Derivatives study specific characteristics of order book markets. By controlling the descriptive time scale of the dynamics involved, I show how market impact, linear by definition, and trading strategies lead to precise pictures for clarifying order book dynamics, consistent with what is observed empirically.

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What Does Object-Oriented Technology Mean?,e into account correlation between stocks when proceeding clients orders. However, not so much effort has been devoted to correlation modelling and only few empirical results are known about high frequency correlation. Depending on the time scale under consideration, a plausible candidate for modell

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