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.
Degree Type
Dissertation
Degree Name
Doctor of Philosophy (PhD)
Department
Mathematics
Date of Award
January 2015
Recommended Citation
Chavez Casillas, Jonathan Allan, "STOCHASTIC MODELING OF LIMIT ORDER BOOKS: CONVERGENCE OF THE PRICE PROCESS, SIMULATION AND APPLICATIONS" (2015). Open Access Dissertations. 1342.
https://docs.lib.purdue.edu/open_access_dissertations/1342
First Advisor
Jose E Figueroa Lopez
Committee Member 1
Frederi Viens
Committee Member 2
Jonathon Peterson
Committee Member 3
Raghu Pasupathy