Date of Award

January 2015

Degree Type

Dissertation

Degree Name

Doctor of Philosophy (PhD)

Department

Mathematics

First Advisor

Jose E Figueroa Lopez

Committee Member 1

Frederi Viens

Committee Member 2

Jonathon Peterson

Committee Member 3

Raghu Pasupathy

Abstract

In the past two decades, electronic limit order books (LOBs) have become the most important mechanism through which securities are traded. A LOB contains the current supply and demand of a security at different prices and it can be modeled as a random, state-dependent, and high-dimensional system since typically a great number of orders are placed at many different prices at a millisecond time scale. These features lead to an inherent mathematical complexity which is extremely hard to describe in a tractable manner. Thus, depending on the purpose, different models have been proposed to capture specific properties of the underlying trading mechanism, making LOB modeling a trending topic in the quantitative and investment finance literature for the past few years. Some of the most important objectives for which a LOB model is designed are to provide algorithmic trading strategies, bottom-up estimates for a variety of parameters, better understanding of asset price formation.

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