Econophysics of Order-driven Markets

Part I. Order Book Data and Modelling

1. Trade-throughs: Empirical Facts and Application to Lead-lag Measures
Fabrizio Pomponio, Frédéric Abergel

2. Are the Trading Volume and the Number of Trades Distributions Universal?
Vikram S. Vijayaraghavan, Sitabhra Sinha

3. Subpenny Trading in US Equity Markets
Romain Delassus, Stéphane Tyč

4. “Market Making” in an Order Book Model and Its Impact on the Spread
Ioane Muni Toke

5. Price-Time Priority and Pro Rata Matching in an Order Book Model of Financial Markets
Tobias Preis

6. High-Frequency Simulations of an Order Book: a Two-scale Approach
Charles-Albert Lehalle, Olivier Guéant, Julien Razafinimanana

7. A Mathematical Approach to Order Book Modelling
Frédéric Abergel, Aymen Jedidi

8. Reconstructing Agents’ Strategies from Price Behavior
Valentina Alfi, Matthieu Cristelli, Luciano Pietronero, Andrea Zaccaria

9. Market Influence and Order Book Strategies
François Ghoulmié

10. Multi-Agent Order Book Simulation: Mono- and Multi-Asset High-Frequency Market Making Strategies
Laurent Foata, Michael Vidhamali, Frédéric Abergel

Part II. High-Frequency Data and Modelling

11. The Nature of Price Returns During Periods of High Market Activity
Khalil Dayri, Emmanuel Bacry, Jean-François Muzy

12. Tick Size and Price Diffusion
Gabriele Spada, J. Doyne Farmer, Fabrizio Lillo

13. High Frequency Correlation Modelling
Nicolas Huth, Frédéric Abergel

14. The Model with Uncertainty Zones for Ultra High Frequency Prices and Durations: Applications to Statistical Estimation and Mathematical Finance
Christian Y. Robert, Mathieu Rosenbaum

15. Exponential Resilience and Decay of Market Impact
Jim Gatheral, Alexander Schied, Alla Slynko

Part III. Miscellaneous

16. Modeling the Non-Markovian, Non-stationary Scaling Dynamics of Financial Markets
Fulvio Baldovin, Dario Bovina, Francesco Camana, Attilio L. Stella

17. The von Neumann-Morgenstern Utility Functions with Constant Risk Aversions
Satya R. Chakravarty, Debkumar Chakrabarti

18. Income and Expenditure Distribution. A Comparative Analysis
Kausik Gangopadhyay, Banasri Basu

19. Two Agent Allocation Problems and the First Best
Manipushpak Mitra

20. Opinion Formation in a Heterogenous Society
Marie-Therese Wolfram

21. Opinion Formation in the Kinetic Exchange Models
Anirban Chakraborti, Bikas K. Chakrabarti

22. Panel Discussion
Frédéric Abergel, Bikas K. Chakrabarti, Anirban Chakraborti, Manipushpak Mitra

Keywords: Economics/Management Science, Economics/Management Science, general, Statistical Physics, Dynamical Systems and Complexity, Partial Differential Equations