English | 2022 | ISBN: 978-1032209265 | 280 Pages | PDF, EPUB | 137 MB
Stochastic Modelling of Big Data in Finance provides a rigorous overview and exploration of sto-
chastic 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.
Features
- Self-contained book suitable for graduate students and post-doctoral fellows in financial math- ematics and data science, as well as for practitioners working in the financial industry who deal with big data
- All results are presented visually to aid in understanding of concepts
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