Date: Tuesday, March 12, 2013
Location: 1360 East Hall (3:00 PM to 4:00 PM)
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. This is joint work with Christopher Almost and John Lehoczky.
1397_DiffusionModelForOrderBook.pdf
Speaker: Steve Shreve
Institution: Carnegie Mellon University
Event Organizer: Erhan Bayraktar erhan@umich.edu
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