Stochastic Modelling of Big Data in Finance

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

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 publications 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 Computational 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 steering 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 & Statistics. 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, random 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.

《金融大數據的隨機建模》提供了對金融領域中大數據的隨機建模的嚴謹概述和探索。該書描述了各種隨機模型，包括多變量模型，用於處理金融領域的大數據。這包括高頻和算法交易中的數據，特別是限價訂單簿（LOB），並展示了如何應用這些模型到不同的數據集中，以描述LOB的動態，並找出哪個模型對於特定的數據集最好。該書的結果也可用於解決收購、清算和市場做市等金融優化問題。

特點：
- 自成一體的書籍，適合金融數學和數據科學的研究生和博士後研究員，以及從事金融行業大數據工作的從業人員
- 所有結果以圖形方式呈現，有助於理解概念

Anatoliy Swishchuk博士是加拿大卡爾加里大學數學與統計學系的數學金融學教授。他在烏克蘭基輔國立大學獲得學士和碩士學位。他在烏克蘭國家科學院獲得數學和物理（博士和博士後）兩個博士學位，並因在隨機演化及其應用方面的一系列研究論文而獲得國家科學院的青年科學家獎金和金牌獎。他是卡爾加里大學數學與統計學系金融和能源金融研討會“午餐實驗室”的主席和組織者。他是卡爾加里大學數學和計算金融實驗室的主任。他曾是加拿大專業風險管理協會（PRMIA）的指導委員會成員（2006-2015年），並是全球風險專業人士協會（GARP）加拿大分會的指導委員會成員（自2015年起）。他是卡爾加里大學數學與統計學系數學金融項目的創建者，也是數據科學和分析項目中“金融和能源市場數據建模”新專業的倡導者。他的研究領域包括金融數學、隨機演化及其應用、生物數學、隨機微積分，並在四個研究期刊的編輯委員會任職。他是200多篇論文的作者，包括15本書和150多篇同行評審期刊文章。2018年，他獲得了Peak Scholar獎。

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 publications 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 Computational 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 steering 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 & Statistics. 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, random 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.

Dr. Anatoliy Swishchuk是加拿大卡爾加里大學數學與統計學系的數學金融學教授。他在烏克蘭基輔國立大學獲得學士和碩士學位。他在烏克蘭國家科學院獲得數學和物理學的兩個博士學位（博士和博士後），並因在隨機演化及其應用領域的一系列研究著作而獲得國家科學院的青年科學家獎和金牌獎章。

Swishchuk博士是卡爾加里大學數學與統計學系金融和能源金融研討會“Lunch at the Lab”的主席和組織者。他還是卡爾加里大學數學和計算金融實驗室的主任。他曾是加拿大專業風險管理師國際協會（PRMIA）的指導委員會成員（2006-2015年），並是全球風險專業人士協會（GARP）加拿大分會的指導委員會成員（自2015年起）。

Swishchuk博士是卡爾加里大學數學與統計學系數學金融項目的創始人。他還是數據科學和分析項目中新專業“金融和能源市場數據建模”的倡導者。他的研究領域包括金融數學、隨機演化及其應用、生物數學、隨機微積分，並在四個研究期刊的編輯委員會任職。他是200多篇著作的作者，包括15本書和150多篇同行評審期刊文章。2018年，他獲得了Peak Scholar獎。