FMSP Lectures

Seminar information archive ~03/28Next seminarFuture seminars 03/29~


2015/01/27

13:00-16:20   Room #126 (Graduate School of Math. Sci. Bldg.)
Frédéric Abergel (École Centrale Paris)
Limit order books II
[ Abstract ]
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.
[ Reference URL ]
http://fmsp.ms.u-tokyo.ac.jp/FMSPLectures_Abergel.pdf