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Quantum Markets: Physical Theory of Market Microstructure by Jack Sarkissian

Quantum Markets: Physical Theory of Market Microstructure

by Jack Sarkissian
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Book cover type: Hardcover
  • ISBN13: 9780578890685
  • Binding: Hardcover
  • Subject: N/A
  • Publisher: Advanced Scientific Publishing
  • Publisher Imprint: Advanced Scientific Publishing
  • Publication Date:
  • Pages: 220
  • Original Price: USD 145.0
  • Language: English
  • Edition: N/A
  • Item Weight: 463 grams
  • BISAC Subject(s): Finance / Financial Engineering

This book provides technical introduction into quantum nature of financial markets on microstructural level. Coming from examination of price formation process the book explains why it is a quantum process and why the common stochastic methods are insufficient. Building on this fact, quantum framework is developed as it applies to finance, not elementary particles. Although there is a basic similarity, the resulting picture is much different from traditional quantum physics. Quantum physics is known as a discipline of calculations, not philosophy. That style is maintained throughout the book. The book is most appropriate for institutional finance professionals who have formal education in physics. The book is not intended for individuals that are looking for a general read, are unfamiliar with physics concepts, or amateur traders. "Quantum Markets" summarizes years of author's own research prompted by the need to enhance quality of decision making in his asset management and trading work. This includes modeling price impact, block trade pricing, order book dynamics, risk management of illiquid securities, etc. Armed with the material of this book the readers should be able to apply it to solve quantitative problems on a trading desk or perform their own research in this direction.

Sarkissian, Jack: - Jack Sarkissian (PhD) is an asset manager, banker, and a physicist, currently overseeing automated trading as the Managing Partner of Algostox Trading. He was the Chief Investment Officer for EG Capital Partners managing $3 billion in assets, and prior to that ran a risk management department and held senior quantitative positions in investment banks. Jack applies methods of theoretical physics to reveal fundamental properties of financial markets. His research addresses problems he had/has to deal with himself as an asset manager and trader, including trade execution, order book dynamics, block trade pricing, risk assessment of illiquid securities, OTC derivatives pricing, market microstructure, and ergodic properties of financial markets. Jack's research led him to formulation of Quantum Theory of Price Formation, which not only takes our understanding of financial processes to a new level, but also opens new paths for trade execution modeling, securities pricing and risk management.

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