Студентски семинар, 21. фебруар 2020.

• 19. Фебруар, 2020
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Наредни састанак Семинара биће одржан у петак, 21. фебруара 2020. у сали 301ф Математичког института САНУ са почетком у 12 часова.

Предавач: Драгана Радојичић, Технички универзитет у Бечу, Аустрија

Наслов предавања: ON A BINOMIAL LIMIT ORDER BOOK MODEL

Апстракт:
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.