Sökning: "Simon Hagerlind"
Hittade 1 uppsats innehållade orden Simon Hagerlind.
1. Empirical evaluation of a stochastic model for order book dynamics
Uppsats för yrkesexamina på avancerad nivå, Matematiska institutionenSammanfattning : 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
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