Text only print
Full screen print
Seminar on Probability and Statistics
Seminar information archive ～04/19｜Next seminar｜Future seminars 04/20～
| Organizer(s) | Nakahiro Yoshida, Teppei Ogihara, Yuta Koike |
|---|
2015/11/18
17:00-18:10 Room #056 (Graduate School of Math. Sci. Bldg.)
Ioane Muni Toke (University of New Caledonia)
Order flow intensities for limit order book modelling
Ioane Muni Toke (University of New Caledonia)
Order flow intensities for limit order book modelling
[ Abstract ]
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.
