1.
정확히 말하면 BNP Paribas와 프랑스의 Ecole Centrale Paris가 공동으로 발표한 논문입니다. BNP Paribas와 Ecole Centrale Paris가 2007년 공동으로 만든 BNP Paribas Quantitative Finance Chair의 작품입니다. 주된 연구분야는 empirical market microstructure; mathematical modelling in continuous time; numerical simulation of order books and trading strategies입니다. 첫번째로 소개할 논문은 Market Impact: A Systematic Study of Limit Orders입니다.
This paper is devoted to the important yet little explored subject of the market impact of limit orders. Our analysis is based on a proprietary database of metaorders – large orders that are split into smaller pieces before being sent to the market. We first address the case of aggressive limit orders and then, that of passive limit orders. In both cases, we provide empirical evidence of a power law behaviour for the temporary market impact. The relaxation of the price following the end of the metaorder is also studied, and the long-term impact is shown to stabilize at a level of approximately two-thirds of the maximum impact. Finally, a fair pricing condition during the life cycle of the metaorders is empirically validated.
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Market Impact: A Systematic Study of Limit Orders
2.
또다른 논문은 논문을 묶은 ‘Limit Order Books‘입니다. 영국 캠브리지대학 출판부가 발간한 책입니다. 앞서 소개한 논문의 공동저자인 Frederic Abergel 외에 BNP Paribas의 Marouane Anane도 공동저자로 참여하였습니다.
Marouane Anane, BNP Paribas, France
Marouane Anane is a Quantitative Analyst at BNP Paribas, Paris. He holds a Ph.D. in Applied Mathematics from the École Centrale Paris. His research interests include market-making strategies, price dynamics and automated technical analysis.
캠브리지대학 출판부가 쓴 책 소개입니다. 목차만 보아도 무척 매력적인 책임을 알 수 있습니다.
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 techniques and introduces general, flexible, open source library concepts useful to readers studying trading strategies in order-driven markets.
– Offers a complete guide to the statistical properties of limit order books
– Offers an in-depth mathematical study of the Markovian model of limit order books
– Includes detailed algorithms for the numerical analysis of limit order books
이 책은 앞서 논문을 발표한 The BNP Paribas Chair of Quantitative Finance 에 올라왔습니다. 원래 주소는 Limit Order Books입니다. 두 논문과 도서를 보니까 금융공학을 공부하기 위하여 미국이 아니라 프랑스로 유학가도 되지않을까 합니다. PDF파일을 직접 올리고 싶지만 저작권때문에 URL로 대신합니다. 위의 URL을 이용해주시고 목차로 내용을 확인하세요. 만약 URL에서 받을 수 없다면 이메일을 보내주세요.
