Seminar series
Date
Thu, 19 May 2016
Time
16:00 -
17:30
Location
L4
Speaker
Frédéric Abergel
Organisation
Ecole Centrale Paris
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.