Stochastic Modelling of Big Data in Finance (Chapman and Hall/CRC Financial Mathematics Series)

Synopsis

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 Dr. Anatoliy Swishchuk is a Professor in Mathematical Finance at the Department of Mathematics and Statistics, University of Calgary, Calgary, AB, Canada. He got his B.Sc. and M.Sc. degrees from Kyiv State University, Kyiv, Ukraine. He earned two doctorate degrees in Mathematics and Physics (PhD and DSc) from the prestigious National Academy of Sciences of Ukraine (NASU), Kiev, Ukraine, and is a recipient of NASU award for young scientist with a gold medal for series of research publica- tions in random evolutions and their applications.Dr. Swishchuk is a chair and organizer of finance and energy finance seminar ‘Lunch at the Lab’ at the Department of Mathematics and Statistics. Dr. Swishchuk is a Director of Mathematical and Compu- tational Finance Laboratory at the University of Calgary. He was a steering committee member of the Professional Risk Managers International Association (PRMIA), Canada (2006-2015), and is a steer- ing committee member of Global Association of Risk Professionals (GARP), Canada (since 2015).Dr. Swishchuk is a creator of mathematical finance program at the Department of Mathematics & Sta- tistics. He is also a proponent for a new specialization “Financial and Energy Markets Data Modelling” in the Data Science and Analytics program. His research areas include financial mathematics, ran- dom evolutions and their applications, biomathematics, stochastic calculus, and he serves on editorial boards for four research journals. He is the author of more than 200 publications, including 15 books and more than 150 articles in peer-reviewed journals. In 2018 he received a Peak Scholar award.

Copyright:

2023

Book Details

Book Quality:

Publisher Quality

Book Size:

280 Pages

ISBN-13:

9781000776812

Related ISBNs:

9781032209289, 9781032209265, 9781003265986

Publisher:

CRC Press

Date of Addition:

11/08/22

Copyrighted By:

Anatoliy Swishchuk

Adult content:

No

Language:

English

Has Image Descriptions:

No

Categories:

Nonfiction, Computers and Internet, Business and Finance, Mathematics and Statistics

Submitted By:

Bookshare Staff

Usage Restrictions:

This is a copyrighted book.