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統計数学セミナー
過去の記録 ～04/25｜次回の予定｜今後の予定 04/26～
| 担当者 | 吉田朋広、荻原哲平、小池祐太 |
|---|---|
| セミナーURL | http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/ |
| 目的 | 確率統計学およびその関連領域に関する研究発表, 研究紹介を行う. |
2015年11月18日(水)
17:00-18:10 数理科学研究科棟(駒場) 056号室
Ioane Muni Toke 氏 (University of New Caledonia)
Order flow intensities for limit order book modelling
Ioane Muni Toke 氏 (University of New Caledonia)
Order flow intensities for limit order book modelling
[ 講演概要 ]
Limit order books are at the core of electronic financial markets. Mathematical models of limit order books use point processes to model the arrival of limit, market and cancellation orders in the order book, but it is not clear what a "good" parametric model for the intensities of these point processes should be.
In the first part of the talk, we show that despite their simplicity basic Poisson processes can be used to accurately model a few features of the order book that more advanced models reproduce with volume-dependent intensities.
In the second part of the talk we present ongoing investigations in a more advanced statistical modelling of these order flow intensities using in particular normal mixture distributions and exponential models.
Limit order books are at the core of electronic financial markets. Mathematical models of limit order books use point processes to model the arrival of limit, market and cancellation orders in the order book, but it is not clear what a "good" parametric model for the intensities of these point processes should be.
In the first part of the talk, we show that despite their simplicity basic Poisson processes can be used to accurately model a few features of the order book that more advanced models reproduce with volume-dependent intensities.
In the second part of the talk we present ongoing investigations in a more advanced statistical modelling of these order flow intensities using in particular normal mixture distributions and exponential models.
