Faculty in Mathematical Finance
Math Finance Home
Conferences
Seminars
People
Open Positions
Contact |
Probability and Computational Finance Seminar
Christopher Almost Carnegie Melllon University Title: Diffusion scaling of a limit order book model Abstract: Trading in modern financial markets takes place primarily via a continuous double auction in which participants submit limit orders, offers to transact a given quantity at a given price, which may be cancelled at any time, and market orders that are executed against preexisting limit orders. Modelling the limit order book is inherently high-dimensional and the most natural description of the dynamics of the order flows has them depend on the state of the book in a discontinuous way. We examine a popular discrete model from the literature and describe its limit under a diffusion scaling inspired by queueing theory. Interesting features include a process that is either constant or diffusing according to whether another diffusion is positive or negative, and convergence to this process is obtained in the Skorokhod M_1 topology. Date: Monday, October 5, 2015 Time: 4:30 pm Location: Wean Hall 8220 Submitted by: Steve Shreve |