Swishchuk A. Stochastic Modelling of Big Data in Finance 2022

Textbook in PDF format

Stochastic Modelling of Big Data in Finance provides a rigorous overview and exploration of stochastic 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 mathematics 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