Mathematical modelling of limit order books

19 May 2016
16:00
to
17:30
Frédéric Abergel
Abstract

The limit order book is the at the core of every modern, electronic financial market. In this talk, I will present some results pertaining to their statistical properties, mathematical modelling and numerical simulation. Questions such as ergodicity, dependencies, relation betwen time scales... will be addressed and sometimes answered to. Some on-going research projects, with applications to optimal trading and market making, will be evoked.