Essays about: "ask queue"

Found 1 essay containing the words ask queue.

  1. 1. 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