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Econophysics review: I. Empirical facts
This article and the companion paper aim at reviewing recent empirical and theoretical developments usually grouped under the term Econophysics. Since the name was coined in 1995 by merging the wordsExpand
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Econophysics review: II. Agent-based models
This article is the second part of a review of recent empirical and theoretical developments usually grouped under the heading Econophysics. In the first part, we reviewed the statistical propertiesExpand
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Econophysics: Empirical facts and agent-based models
This article aims at reviewing recent empirical and theoretical developments usually grouped under the term Econophysics. Since its name was coined in 1995 by merging the words Economics and Physics,Expand
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GPU based sparse grid technique for solving multidimensional options pricing PDEs
TLDR
In this paper we address iterative solutions via preconditioned Krylov subspace based methods, such as Stabilized BiConjugate Gradient (BiCGStab) and CG Squared, with the main focus on the design of such iterative solvers to harness massive parallelism of general purpose Graphics Processing Units (GPGPU)s. Expand
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Modelling Trades-Through in a Limit Order Book Using Hawkes Processes
TLDR
The authors model trades-through, i.e. transactions that reach at least the second level of limit orders in an order book. Expand
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"Market making" behaviour in an order book model and its impact on the bid-ask spread
It has been suggested that marked point processes might be good candidates for the modelling of financial high-frequency data. A special class of point processes, Hawkes processes, has been theExpand
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Monte Carlo Valuation of Multidimensional American Options Through Grid Computing
TLDR
We investigate several ways to implement a financial algorithm on a Grid architecture. Expand
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Reconstruction of Order Flows using Aggregated Data
  • I. Toke
  • Economics, Computer Science
  • 10 April 2016
TLDR
We use a simple algorithm that helps the synchronization of the trades and quotes data sources, providing enhancements to the basic procedure that, depending on the time period and the exchange, are shown to be significant. Expand
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