過去の記録 ~02/05次回の予定今後の予定 02/06~

担当者 河野俊丈


13:00-17:00   数理科学研究科棟(駒場) 126号室
Frédéric Abergel 氏 (École Centrale Paris)
Limit order books I
[ 講演概要 ]
In this series of lectures, I will present results pertaining to the empirical properties, mathematical modeling and analysis of limit order books, an object that is now central in modern financial markets. Part of the lectures will be devoted to a survey of the quantitative finance and financial mathematics literature on the subject. I will also present some rather recent results related to the long time behaviour and stationarity of the limit order book.
[ 参考URL ]