Essays about: "order book dynamics"

Found 4 essays containing the words order book dynamics.

  1. 1. Optimal Order Placement Using Markov Models of Limit Order Books

    University essay from KTH/Matematik (Avd.)

    Author : Max Oliveberg; [2023]
    Keywords : Optimal order placement; Limit order book; Markov; Optimal orderläggning; Orderbok; Markov;

    Abstract : We study optimal order placement in a limit order book. By modelling the limit order book dynamics as a Markov chain, we can frame the purchase of a single share as a Markov Decision Process. Within the framework of the model, we can estimate optimal decision policies numerically. The trade rate is varied using a running cost control variable. READ MORE

  3. 2. Assessing Social-Ecological Justice in Projects, Plans and Processes : A Workbook for Sustainable development

    University essay from KTH/Urbana och regionala studier

    Author : Anton Bertilson; [2016]
    Keywords : Sustainable development; Social-Ecological Justice;

    Abstract : This thesis aims to develop a workbook to assess social-ecological justice (SEJ) in projects, plans and processes. Social-ecological justice bridges many sustainability discourses in order to create a more inclusive and wider sustainability concept than previous ones (Gunnarsson Östling & Svenfelt, (Submitted Book Chapter)). READ MORE

  4. 3. 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

  5. 4. Empirical evaluation of a Markovian model in a limit order market

    University essay from Matematiska institutionen

    Author : Filip Trönnberg; [2012]
    Keywords : Markovian model; limit order book; limit order market; stock; stock market; price dynamics; log-normal; distribution; exponential; Weibull; Markovian queuing system; empirical data; financial assets; trading; trader; high; frequency; trading; order book; order flow; HFT; Joint probability density function; bid queue; ask queue;

    Abstract : A stochastic model for the dynamics of a limit order book is evaluated and tested on empirical data. Arrival of limit, market and cancellation orders are described in terms of a Markovian queuing system with exponentially distributed occurrences. READ MORE