Sökning: "Simon Hagerlind"

Hittade 1 uppsats innehållade orden Simon Hagerlind.

  1. 1. Empirical evaluation of a stochastic model for order book dynamics

    Uppsats för yrkesexamina på avancerad nivå, Matematiska institutionen

    Författare :Simon Hagerlind; [2012]
    Nyckelord :order book dynamics;

    Sammanfattning : 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. LÄS MER