Date of Award
Master of Arts (AM/MA)
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.
Chair and Committee
Todd Kuffner, Edward Spitznagel
Luo, Yiyao, "Statistical Analysis of Markovian Queueing Models of Limit Order Books" (2017). Arts & Sciences Electronic Theses and Dissertations. 1076.