Thu, 19 May 2016
16:00 -
17:30
L4
Mathematical modelling of limit order books
Frédéric Abergel
(Ecole Centrale Paris)
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.