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

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Antonino Gomes de Sá,Joachim Rixions on their future volatility. As in several natural phenomena, the predictions of such a model must be compared with the data of a single process realization in our records. In order to give statistical significance to such a comparison, assumptions of stationarity for some quantities extracted f

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https://doi.org/10.1057/9780230100589We study sub-penny trading in the US equity markets.

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Subpenny Trading in US Equity MarketsWe study sub-penny trading in the US equity markets.

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High-Frequency Simulations of an Order Book: a Two-scale ApproachModels of market microstructure at the order book scale can be split into two families:

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https://doi.org/10.1007/978-88-470-1766-5Econophysics; Finance; Order-driven markets; partial differential equations

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