Stochastic Modelling of Big Data in Finance

By:

Swishchuk , Anatoliy [author.]

Material type:

TextLanguage: English Series: Chapman & Hall/CRC Financial mathematics seriesPublication details: Boca Raton : CRC Press/Taylor & Francis, 2023.Description: xxiii, 280p. : ill. ; 24 cmISBN:

9781032209265

Subject(s):

Other classification:

B2811:(X:8D) R3

Summary: Stochastic Modelling of Big Data in Finance provides a rigorous overview and exploration of stochastic modelling of big data in finance (BDF). The book describes various stochastic models, including multivariate models, to deal with big data in finance. This includes data in high-frequency and algorithmic trading, specifically in limit order books (LOB), and shows how those models can be applied to different datasets to describe the dynamics of LOB, and to figure out which model is the best with respect to a specific data set. The results of the book may be used to also solve acquisition, liquidation and market making problems, and other optimization problems in finance.

Item type:

Textual

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Holdings
Cover image	Item type	Current library	Home library	Collection	Shelving location	Call number	Materials specified	Vol info	URL	Copy number	Status	Notes	Date due	Barcode	Item holds	Item hold queue priority	Course reserves
	Textual	Central Science Library	Central Science Library			B2811:(X:8D) R3 (Browse shelf(Opens below))					Available			SL1655927

Includes bibliography and index.

Stochastic Modelling of Big Data in Finance provides a rigorous overview and exploration of stochastic modelling of big data in finance (BDF). The book describes various stochastic models, including multivariate models, to deal with big data in finance. This includes data in high-frequency and algorithmic trading, specifically in limit order books (LOB), and shows how those models can be applied to different datasets to describe the dynamics of LOB, and to figure out which model is the best with respect to a specific data set. The results of the book may be used to also solve acquisition, liquidation and market making problems, and other optimization problems in finance.

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