During the last decade, derivatives markets became an asset class of their own and influenced the financial landscape strongly. While the financial sector contributes positively to overall economic growth in many studies up to the mid nineties, a positive contribution of the financial sector to...

Models of interacting agents are able to describe simultaneously the so-called stylized facts about financial markets. Agent-based financial market modeling basically constitutes a problem of organized complexity. Individual behavior is determined by both deterministic and stochastic factors...

Computerized trading controlled by algorithms - 'Algorithmic Trading' - has become a fashionable term in investment banking. We investigate a set of Xetra order data to find traces of algorithmic trading by studying the lifetimes of canceled orders. Even though it is widely agreed that an...

Computerized trading controlled by algorithms - 'Algorithmic Trading' - has become a fashionable term in investment banking. We investigate a set of Xetra order data to find traces of algorithmic trading by studying the lifetimes of canceled orders. Even though it is widely agreed that an...