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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.


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