Faculty in Mathematical Finance
Math Finance Home
Conferences
Seminars
People
Open Positions
Contact |
Probability and Computational Finance Seminar
Christopher Almost Carnegie Mellon University Title: Diffusion scaling of a limit order book model Abstract: With the movement of trading away from the trading floor onto electronic exchanges - and the accompanying rise in the volume of order submission - has come an increase in the need for tractable mathematical models of the whole limit order book. The problem 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 which is either "frozen" or diffusing according to whether another diffusion is positive or negative.Date: Monday, February 4, 2013Time: 5:30 pmLocation: Wean Hall 6423Submitted by: ShreveNote: please note time. |