A limit order book is essentially a file on a computer that contains all orders sent to the market, along with their characteristics such as the sign of the order, price, quantity and a timestamp. The majority of organized electronic markets rely on limit order books to store the list of interests of market participants on their central computer. A limit order book contains all the information available on a specific market and it reflects the way the market moves under the influence of its participants. This book discusses several models of limit order books. It begins by discussing the data to assess their empirical properties, and then moves on to mathematical models in order to reproduce the observed properties. Finally, the book presents a framework for numerical simulations. It also covers important modelling techniques including agent-based modelling, and advanced modelling of limit order books based on Hawkes processes. The book also provides in-depth coverage of simulation tec
A comprehensive collection of up-to-date empirical and analytical research within high-frequency finance Reflecting the fast pace and ever-evolving nature of the financial industry, the Handbook of Hi
This book is devoted to mathematical models for execution problems in finance. The main goal is to present a general framework (inspired from the Almgren-Chriss approach) for optimal execution problem
International Investment Management: Theory, Practice, and Ethics synthesizes investment principles, Asian financial practice, and ethics in a book that reflects the realities of modern international
International Investment Management: Theory, Practice, and Ethics synthesizes investment principles, Asian financial practice, and ethics in a book that reflects the realities of modern international
This book fills provides a high-level overview of the analytics process at investment firms from multiple angles: the data management side, the modeling side, the software resources side, and the inve
This handbook, applicable for professionals, researchers, and academics alike, and edited by any expert in the area, represents the most up-to-date compilation of fixed-income securities techniques av
Hybrid capital securities or 'hybrids' offer various benefits. They offer flexibility equity without shareholder dilution, provide protection to senior creditors, are a stable source of long-term fund
Despite the growing importance of funds through corporate bonds, most investigations on the short-term effects of certain events on firm value are only conducted for stocks. Thus, research provides an
The options market is the only growing market for broker/dealers. Currently the average daily volume of option trading is about 20 million contracts a day, which is akin to 2 billion shares, making th
Derivatives Markets is a thorough and well-presented textbook that offers readers an introduction to derivatives instruments, with a gentle introduction to mathematical finance, and provides a working
Butler and Philbrick run a popular blog called Gestaltu.com where they have documented their personal journey researching, analyzing, and implementing multiple approaches to investment management.&nbs
Investors, wealth advisors, investment bankers, business school students, lawyers, accountants, rating agencies and research providers are increasingly faced with difficult questions on high yield. Th
In this book, author Lorenzo Bergomipresents readers with an examination of the methods used to employ stochastic volatility to address a variety of issues that come from the modeling of derivatives.
For undergraduate courses in Investments. The Core Concepts and Tools Readers Need to Make Informed Investment DecisionsFundamentals of Investing helps individuals make informed investment decisi
Linda Matar examines Syria's failure to promote employment-generating investment prior to the uprising. Tackling the thorny issue of the inapplicability of modern investment theory to a developing cou
Leveraged Exchange-Traded Funds (LETFs) are publicly-traded funds that promise to provide daily returns that are in a multiple (positive or negative) of the returns on an index. To meet that promise,
Economists, policymakers, central bankers and practitioners in the world of finance have been blindsided by a series asset bubbles, the most spectacular of which was the Global Financial Crisis of 200
