Thursday, June 25, 2015 - 10:45am - 11:45am
Frank Kelly (University of Cambridge)
In this talk we introduce an analytically tractable model of a limit order book where the dynamics are driven by stochastic fluctuations between supply and demand. The model has a natural interpretation for a highly traded market on short time-scales where there is a separation between the time-scale of trading, represented in the model, and a longer time-scale on which fundamentals change.
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