Studentski seminar, 21. februar 2020.

Naredni sastanak Seminara biće održan u petak, 21. februara 2020. u sali 301f Matematičkog instituta SANU sa početkom u 12 časova.

Predavač: Dragana Radojičić, Tehnički univerzitet u Beču, Austrija

Naslov predavanja: ON A BINOMIAL LIMIT ORDER BOOK MODEL

Apstrakt:
We introduce a Limit Order Book (LOB) model in discrete time and space, driven by a simple symmetric random walk. We study a basic but non-trivial model of the limit order book where orders get placed with a fixed displacement from the mid-price and get executed whenever the mid-price reaches their level. We define the key quantity, avalanche length, as an avalanche period of trade executions, but allow a small window of size at most epsilon > 0 without any execution event. Moreover, we are interested in modeling other interesting quantities, e.g. Order Cancellations. This is the joint work with Professor Friedrich Hubalek and Professor Thorsten Rheinländer.



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