Essays about: "order book dynamics"
Found 4 essays containing the words order book dynamics.
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1. Optimal Order Placement Using Markov Models of Limit Order Books
University essay from KTH/Matematik (Avd.)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
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2. Assessing Social-Ecological Justice in Projects, Plans and Processes : A Workbook for Sustainable development
University essay from KTH/Urbana och regionala studierAbstract : 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
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3. Empirical evaluation of a stochastic model for order book dynamics
University essay from Matematiska institutionenAbstract : 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
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4. Empirical evaluation of a Markovian model in a limit order market
University essay from Matematiska institutionenAbstract : 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