Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Empirical evaluation of a stochastic model for order book dynamics
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics.
2012 (English)Independent thesis Advanced level (professional degree), 20 credits / 30 HE creditsStudent thesisAlternative title
Empirical evaluation of a stochastic model for order book dynamics (English)
Abstract [en]

Abstract A stochastic model for orderbook dynamics is proposed in Cont et al.(2010) and empirically evaluated in thisthesis. Arrival rates of limit, marketand cancellation orders are described interms of a Markov chain where thearrival rates are exponentiallydistributed. The model not onlyconsiders the best bid and ask queuesbut also additional price levels of theorder book. Methods for computingseveral quantities important to highfrequency trading are proposed usingLaplace transforms and continuedfractions. These quantities includeconditional probabilities such as theprobability of a price increasedepending on the profile of the orderbook. Computing these probabilities aresupposed to be easy enough to computeanalytically. However this was not thecase. We failed in the inversion of theLaplace transform methods and the mainreason is that the instructions in Contet al. (2010) are not adequate when itcomes to perform the inversion. Hence wedraw the conclusion that the method isno good for predicting short termbehavior of limit order books. For longterm applications the model can be usedto simulate the order book with goodresults.

Place, publisher, year, edition, pages
2012. , 48 p.
Series
UPTEC F, ISSN 1401-5757 ; 12027
Keyword [en]
order book dynamics
National Category
Engineering and Technology
Identifiers
URN: urn:nbn:se:uu:diva-181603OAI: oai:DiVA.org:uu-181603DiVA: diva2:557590
Educational program
Master Programme in Engineering Physics
Uppsok
Technology
Supervisors
Examiners
Available from: 2012-10-03 Created: 2012-09-26 Last updated: 2012-10-03Bibliographically approved

Open Access in DiVA

fulltext(665 kB)797 downloads
File information
File name FULLTEXT01.pdfFile size 665 kBChecksum SHA-512
5ab9aa36d60b659221a61957770eb64c346b3dcb7b8eb673d1da7b52457072e60cee117686d410222cfdce01493da5c0d75238ea4d0d3d699bbcb805a622b601
Type fulltextMimetype application/pdf

By organisation
Department of Mathematics
Engineering and Technology

Search outside of DiVA

GoogleGoogle Scholar
Total: 797 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 915 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf