Abstract

The objective of this thesis is to investigate the suitability of some Markovian queueing models in being able to effectively describe the dynamical properties of a limit order book more specifically. We review and compare the assumptions proposed by Huang et al.[Quantitative Finance,12,547-557(2012)] and Cont et al.[SIAM Journal for Financial Mathematics,4,1- 25(2013)], and estimate the intensity parameters in both ways, based on real data of a stock on the Nasdaq Stock Market. Trough comparing by cumulative distribution functions of first-passage time to state 0, we will hsow that the estimators of Cont’s model fit our data better and we put forward the assumption of multiple-size rates as a better alternative to Cont’s frame work. At last, we investigate the stationary joint distribution of volumes on either side after each price change.

Committee Chair

Jose Figueroa-Lopez

Committee Members

Todd Kuffner, Edward Spitznagel

Comments

Permanent URL: https://doi.org/10.7936/K7W66J7D

Degree

Master of Arts (AM/MA)

Author's Department

Mathematics

Author's School

Graduate School of Arts and Sciences

Document Type

Thesis

Date of Award

Spring 5-2017

Language

English (en)

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Mathematics Commons

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