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Seminar on Probability and Statistics
Seminar information archive ～05/01｜Next seminar｜Future seminars 05/02～
| Organizer(s) | Nakahiro Yoshida, Hiroki Masuda, Teppei Ogihara, Yuta Koike |
|---|
2015/02/10
16:30-17:40 Room #052 (Graduate School of Math. Sci. Bldg.)
Ioane Muni Toke (Ecole Centrale Paris and University of New Caledonia)
Zero-intelligence modelling of limit order books
Ioane Muni Toke (Ecole Centrale Paris and University of New Caledonia)
Zero-intelligence modelling of limit order books
[ Abstract ]
Limit order books (LOB) are at the core of electronic financial markets.
A LOB centralizes all orders of all market participants on a given
exchange, matching buy and sell orders of all types.
In a first part, we observe that a LOB is a queueing system and that
this analogy is fruitful to derive stationary properties of these
structures. Using a basic Poisson model, we compute analytical formulas
for the average shape of the LOB. Our model allows for non-unit size of
limit orders, leading to new predictions on the granularity of financial
markets that turn out to be empirically valid.
In a second part, we study the LOB during the call auction, a market
design often used during the opening and closing phases of the trading
day. We show that in a basic Poisson model of the call auction, the
distributions for the traded volume and the range of clearing prices are
analytically computable. In the case of a liquid market, we derive weak
limits of these distributions and test them empirically.
Limit order books (LOB) are at the core of electronic financial markets.
A LOB centralizes all orders of all market participants on a given
exchange, matching buy and sell orders of all types.
In a first part, we observe that a LOB is a queueing system and that
this analogy is fruitful to derive stationary properties of these
structures. Using a basic Poisson model, we compute analytical formulas
for the average shape of the LOB. Our model allows for non-unit size of
limit orders, leading to new predictions on the granularity of financial
markets that turn out to be empirically valid.
In a second part, we study the LOB during the call auction, a market
design often used during the opening and closing phases of the trading
day. We show that in a basic Poisson model of the call auction, the
distributions for the traded volume and the range of clearing prices are
analytically computable. In the case of a liquid market, we derive weak
limits of these distributions and test them empirically.
