Author: D.J. Daley
Publisher: Springer Science & Business Media
Release Date: 2007-11-12
This is the second volume of the reworked second edition of a key work on Point Process Theory. Fully revised and updated by the authors who have reworked their 1988 first edition, it brings together the basic theory of random measures and point processes in a unified setting and continues with the more theoretical topics of the first edition: limit theorems, ergodic theory, Palm theory, and evolutionary behaviour via martingales and conditional intensity. The very substantial new material in this second volume includes expanded discussions of marked point processes, convergence to equilibrium, and the structure of spatial point processes.
Dieses Lehrbuch beschäftigt sich mit den zentralen Gebieten einer maßtheoretisch orientierten Wahrscheinlichkeitstheorie im Umfang einer zweisemestrigen Vorlesung. Nach den Grundlagen werden Grenzwertsätze und schwache Konvergenz behandelt. Es folgt die Darstellung und Betrachtung der stochastischen Abhängigkeit durch die bedingte Erwartung, die mit der Radon-Nikodym-Ableitung realisiert wird. Sie wird angewandt auf die Theorie der stochastischen Prozesse, die nach der allgemeinen Konstruktion aus der Untersuchung von Martingalen und Markov-Prozessen besteht. Neu in einem Lehrbuch über allgemeine Wahrscheinlichkeitstheorie ist eine Einführung in die stochastische Analysis von Semimartingalen auf der Grundlage einer geeigneten Stetigkeitsbedingung mit Anwendungen auf die Theorie der Finanzmärkte. Das Buch enthält zahlreiche Übungen, teilweise mit Lösungen. Neben der Theorie vertiefen Anmerkungen, besonders zu mathematischen Modellen für Phänomene der Realität, das Verständnis.
Author: François Baccelli
Publisher: Now Publishers Inc
Release Date: 2010
Genre: Technology & Engineering
This volume bears on wireless network modeling and performance analysis. The aim is to show how stochastic geometry can be used in a more or less systematic way to analyze the phenomena that arise in this context. It first focuses on medium access control mechanisms used in ad hoc networks and in cellular networks. It then discusses the use of stochastic geometry for the quantitative analysis of routing algorithms in mobile ad hoc networks. The appendix also contains a concise summary of wireless communication principles and of the network architectures considered in the two volumes.
This monograph presents a time-dynamic model for multivariate claim counts in actuarial applications. Inspired by real-world claim arrivals, the model balances interesting stylized facts (such as dependence across the components, over-dispersion and the clustering of claims) with a high level of mathematical tractability (including estimation, sampling and convergence results for large portfolios) and can thus be applied in various contexts (such as risk management and pricing of (re-)insurance contracts). The authors provide a detailed analysis of the proposed probabilistic model, discussing its relation to the existing literature, its statistical properties, different estimation strategies as well as possible applications and extensions. Actuaries and researchers working in risk management and premium pricing will find this book particularly interesting. Graduate-level probability theory, stochastic analysis and statistics are required.
Author: Laruelle Sophie
Publisher: World Scientific
Release Date: 2018-01-18
Genre: Business & Economics
This book exposes and comments on the consequences of Reg NMS and MiFID on market microstructure. It covers changes in market design, electronic trading, and investor and trader behaviors. The emergence of high frequency trading and critical events like the"Flash Crash" of 2010 are also analyzed in depth. Using a quantitative viewpoint, this book explains how an attrition of liquidity and regulatory changes can impact the whole microstructure of financial markets. A mathematical Appendix details the quantitative tools and indicators used through the book, allowing the reader to go further independently. This book is written by practitioners and theoretical experts and covers practical aspects (like the optimal infrastructure needed to trade electronically in modern markets) and abstract analyses (like the use on entropy measurements to understand the progress of market fragmentation). As market microstructure is a recent academic field, students will benefit from the book's overview of the current state of microstructure and will use the Appendix to understand important methodologies. Policy makers and regulators will use this book to access theoretical analyses on real cases. For readers who are practitioners, this book delivers data analysis and basic processes like the designs of Smart Order Routing and trade scheduling algorithms. In this second edition, the authors have added a large section on orderbook dynamics, showing how liquidity can predict future price moves, and how High Frequency Traders can profit from it. The section on market impact has also been updated to show how buying or selling pressure moves prices not only for a few hours, but even for days, and how prices relax (or not) after a period of intense pressure. Further, this edition includes pages on Dark Pools, Circuit Breakers and added information outside of Equity Trading, because MiFID 2 is likely to push fixed income markets towards more electronification. The authors explore what is to be expected from this change in microstructure. The appendix has also been augmented to include the propagator models (for intraday price impact), a simple version of Kyle's model (1985) for daily market impact, and a more sophisticated optimal trading framework, to support the design of trading algorithms. Contents: Monitoring the Fragmentation at Any ScaleUnderstanding the Stakes and the Roots of FragmentationOptimal Organizations for Optimal TradingAppendix A: Quantitative AppendixAppendix B: Glossary Readership: Graduate and research students of financial markets and quantitative finance, Regulators and policy makers, practitioners. Keywords: Market Microstructure;Finance;Financial Markets;Market Liquidity;Financial Regulation;MiFID;Reg NMS;ESMAReview: Reviews of the First Edition: “Lehalle and Laruelle bring [their] experience to bear on every aspect of the discussion, as well as deep quantitative understanding. The resulting book is a unique mixture of real market knowledge and theoretical explanation. There is nothing else out there like it, and this book will be a central resource for many different market participants.” Robert Almgren President and Cofounder of Quantitative Brokers, New York “Charles' and Sophie's book on markets microstructure will improve our knowledge and consequently help us to tweak these potentiometers. In promoting better education, this book is at the roots of restoring trust in the markets.” Philippe Guillot Executive Director, Markets Directorate Autorité des marchés financiers (AMF), Paris “This book pro
Author: Maria C. Mariani
Publisher: John Wiley & Sons
Release Date: 2016-04-25
Genre: Business & Economics
Reflecting the fast pace and ever-evolving nature of the financial industry, the Handbook of High-Frequency Trading and Modeling in Finance details how high-frequency analysis presents new systematic approaches to implementing quantitative activities with high-frequency financial data. Introducing new and established mathematical foundations necessary to analyze realistic market models and scenarios, the handbook begins with a presentation of the dynamics and complexity of futures and derivatives markets as well as a portfolio optimization problem using quantum computers. Subsequently, the handbook addresses estimating complex model parameters using high-frequency data. Finally, the handbook focuses on the links between models used in financial markets and models used in other research areas such as geophysics, fossil records, and earthquake studies. The Handbook of High-Frequency Trading and Modeling in Finance also features: • Contributions by well-known experts within the academic, industrial, and regulatory fields • A well-structured outline on the various data analysis methodologies used to identify new trading opportunities • Newly emerging quantitative tools that address growing concerns relating to high-frequency data such as stochastic volatility and volatility tracking; stochastic jump processes for limit-order books and broader market indicators; and options markets • Practical applications using real-world data to help readers better understand the presented material The Handbook of High-Frequency Trading and Modeling in Finance is an excellent reference for professionals in the fields of business, applied statistics, econometrics, and financial engineering. The handbook is also a good supplement for graduate and MBA-level courses on quantitative finance, volatility, and financial econometrics. Ionut Florescu, PhD, is Research Associate Professor in Financial Engineering and Director of the Hanlon Financial Systems Laboratory at Stevens Institute of Technology. His research interests include stochastic volatility, stochastic partial differential equations, Monte Carlo Methods, and numerical methods for stochastic processes. Dr. Florescu is the author of Probability and Stochastic Processes, the coauthor of Handbook of Probability, and the coeditor of Handbook of Modeling High-Frequency Data in Finance, all published by Wiley. Maria C. Mariani, PhD, is Shigeko K. Chan Distinguished Professor in Mathematical Sciences and Chair of the Department of Mathematical Sciences at The University of Texas at El Paso. Her research interests include mathematical finance, applied mathematics, geophysics, nonlinear and stochastic partial differential equations and numerical methods. Dr. Mariani is the coeditor of Handbook of Modeling High-Frequency Data in Finance, also published by Wiley. H. Eugene Stanley, PhD, is William Fairfield Warren Distinguished Professor at Boston University. Stanley is one of the key founders of the new interdisciplinary field of econophysics, and has an ISI Hirsch index H=128 based on more than 1200 papers. In 2004 he was elected to the National Academy of Sciences. Frederi G. Viens, PhD, is Professor of Statistics and Mathematics and Director of the Computational Finance Program at Purdue University. He holds more than two dozen local, regional, and national awards and he travels extensively on a world-wide basis to deliver lectures on his research interests, which range from quantitative finance to climate science and agricultural economics. A Fellow of the Institute of Mathematics Statistics, Dr. Viens is the coeditor of Handbook of Modeling High-Frequency Data in Finance, also published by Wiley.
Dieser Buchtitel ist Teil des Digitalisierungsprojekts Springer Book Archives mit Publikationen, die seit den Anfängen des Verlags von 1842 erschienen sind. Der Verlag stellt mit diesem Archiv Quellen für die historische wie auch die disziplingeschichtliche Forschung zur Verfügung, die jeweils im historischen Kontext betrachtet werden müssen. Dieser Titel erschien in der Zeit vor 1945 und wird daher in seiner zeittypischen politisch-ideologischen Ausrichtung vom Verlag nicht beworben.
Author: Günter Last
Publisher: Springer Science & Business Media
Release Date: 1995-08-10
Although readers are assumed to be familiar with the basic notions of measure, integration, and probability theory, an appendix contains extensive surveys of the theory of conditional distributions and Lebesgue-Stieltjes calculus. Consequently researchers and graduate students in probability will find this an ideal introduction to this topic.