Stochastic Modelling of Big Data in Finance

Stochastic Modelling of Big Data in Finance provides a comprehensive overview of stochastic modelling of big data in finance, including multivariate models, and their applications to high-frequency and algorithmic trading, limit order books, and other optimization problems.

Format: Hardback
Length: 280 pages
Publication date: 08 November 2022
Publisher: Taylor & Francis Ltd

Stochastic Modelling of Big Data in Finance offers a comprehensive and in-depth exploration of stochastic modelling of big data in finance (BDF). The book delves into various stochastic models, encompassing multivariate models, to effectively handle the challenges posed by big data in the financial industry. This includes data from high-frequency and algorithmic trading, specifically in limit order books (LOB), and demonstrates how these models can be applied to diverse datasets to capture the dynamics of LOB and determine the most suitable model for a specific data set. The findings of the book have applications in solving acquisition, liquidation, and market-making problems, as well as other optimization challenges in finance.

Designed as a self-contained resource, the book is suitable for graduate students and post-doctoral fellows in financial mathematics and data science, as well as practitioners working in the financial industry who are involved in handling big data.

The book presents all results visually, ensuring a clear understanding of complex concepts.

Dr. Anatoliy Swishchuk, a Professor in Mathematical Finance at the Department of Mathematics and Statistics, University of Calgary, Calgary, AB, Canada, is the author of this book. He holds a B.Sc. and M.Sc. degree in Mathematics from Kyiv State University, Kyiv, Ukraine, and has achieved two doctorate degrees in Mathematics and Physics (PhD and DSc) from the prestigious National Academy of Sciences of Ukraine (NASU), Kiev, Ukraine. Dr. Swishchuk is recognized for his outstanding contributions to the field of random evolutions and their applications, earning him the NASU award for young scientist with a gold medal for his series of research publications.

In addition to his academic roles, Dr. Swishchuk serves as the Chair and Organizer of the finance and energy finance seminar, 'Lunch at the Lab at the Department of Mathematics and Statistics.' He also holds the position of Director of the Mathematical and Computational Finance Laboratory at the University of Calgary. He has been a steering committee.

Weight: 624g
Dimension: 160 x 243 x 21 (mm)
ISBN-13: 9781032209265