Oberseminar Stochastik
Thema: On the Brownian order book model. Referent: Dr. Paul Krühner, TU Wien, Freitag, 27.05.2016, Raum: ENC D-223, Zeit: 14:00 Uhr
Oberseminar Stochastik
On the Brownian order book model.
Freitag, den 27.05.2016, um 14:00 Uhr, im
Raum ENC D-223,
Referent: Dr. Paul Krühner, (TU Wien)
Abstrakt:
We introduce a simple Brownian driven order book model. Here,
orders are placed with a fixed displacement around a Brownian
motion and executed when the Brownian motion is at the same level
as an open order. We study this overly simple model setup in hope
to identify general principles which holds for order book models with
more realistic driving noise and order placement. We find that, in
our simplistic setup, the relative order volume follows the stochastic
heat rod equation on the positive real line with instantaneous
cooling at the origin and heat source at the displacement level. This
allows us to study moments and the distribution of the order volume
process as well as to identify a new representation to the solution of
the describing SPDE.
Wir laden alle Interessenten herzlich zum Vortrag ein.