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Probability and Computational Finance Seminar
Xiaofeng Yu
Carnegie Melllon University
Title: Diffusion Scaling of an Asymmetric Limit Order Book Model and a Poisson Random Measure Application

Abstract: This is a continuation of Chris Almost's lecture of October 5. Chris's model is symmetric in the sense that the arrival rates of limit buy and sell orders are the same. In real financial markets, we usually see different order arrival rates, so we re-examine the analysis and generalize the diffusion scaling model to this asymmetric case. Once we have the limiting process, we study its evolution. The tools used are the formula for the distribution of the first-passage time to an axis of a two-dimensional correlated Brownian motion and Poisson random measure theory for brownian motion excursions.

Date: Monday, November 2, 2015
Time: 4:30 pm
Location: Wean Hall 8220
Submitted by:  Steve Shreve