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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, 2013
Time: 5:30 pm
Location: Wean Hall 6423
Submitted by:  Shreve
Note: please note time.