Tuesday, February 07
Mathematics Colloquium
03:35 PM - 04:35 PM
Location: Science Center Room 323
Cost: Free

Speaker: Jonathan Chavez Casillas, University of Calgary

Title: Price Dynamics in a Limit Order Book under time-dependent order flow

Abstract: In this talk we will introduce Limit Order Books and explain the intricate dynamics between the order flow and the price process. We will discuss some efforts to describe the price dynamics and how they have been generalized to capture some empirical properties observed in the data. We will then introduce a model that considers a time-dependent order flow and, under some assumptions, characterize the price process within this model. We will then finish by describing how this model fit some particular data under the given assumptions.

Refreshments are available at 3:00 PM in SC 313F.

The department colloquia are held every Thursday (excluding holidays) at 3:35 pm in room SC 323 unless otherwise noted. All are invited to attend. 

Contact Information:
Name: Paul Eloe