Essays about: "Simon Hagerlind"

Found 1 essay containing the words Simon Hagerlind.

  1. 1. Empirical evaluation of a stochastic model for order book dynamics

    University essay from Matematiska institutionen

    Author : Simon Hagerlind; [2012]
    Keywords : order book dynamics;

    Abstract : Abstract A stochastic model for orderbook dynamics is proposed in Cont et al.(2010) and empirically evaluated in thisthesis. Arrival rates of limit, marketand cancellation orders are described interms of a Markov chain where thearrival rates are exponentiallydistributed. READ MORE