The primary goal of the book is to present the ideas and research findings of active researchers from various communities (physicists, economists, mathematician

The primary goal of the book is to present the ideas and research findings of active researchers from various communities (physicists, economists, mathematician

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 ord

Filling the gap for an up-to-date textbook in this relatively new interdisciplinary research field, this volume provides readers with a thorough and comprehensi

The widespread availability of high-quality, high-frequency data has revolutionised the study of financial markets. By describing not only asset prices, but als