Limit order book modelling -- a stochastic approach --

dc.contributor.advisorKangro, Raul, juhendaja
dc.contributor.authorAndoh, Dominic Isaac
dc.contributor.otherTartu Ülikool. Loodus- ja täppisteaduste valdkondet
dc.contributor.otherTartu Ülikool. Matemaatika ja statistika instituutet
dc.date.accessioned2017-07-05T07:31:53Z
dc.date.available2017-07-05T07:31:53Z
dc.date.issued2017
dc.description.abstractWe apply a stochastic model to study the continuous-time dynamics of a limit order book for AstraZeneca PLC. The model is analytically tractable and also captures core empirical properties of the order book, which permits us to compute various quantities of interest bypassing the use of simulation. Using the Laplace transform, we are able to compute the conditional distribution of di erent events given the state of the order book. In this thesis we compute probabilities of increase in the mid-price and probabilities of executing the bid before the midprice moves. Comparison with empirical frequencies shows that our model captures accurately the short-term dynamics of the limit order book. However, we noted the model is not always applicable due to inconsistencies in the proportionality of cancellation of some order book data.en
dc.identifier.urihttp://hdl.handle.net/10062/57098
dc.language.isoenget
dc.publisherTartu Ülikoolet
dc.subjecttellimusraamatet
dc.subjectLaplace teisenduset
dc.subjectpäevasisene kauplemineet
dc.subjectpidev topeltoksjonet
dc.subjectLaplace transformen
dc.subjectlimit order booken
dc.subjectcontinuous double auctionen
dc.titleLimit order book modelling -- a stochastic approach --en
dc.typeThesisen

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