Search for dissertations about: "limit order book"
Showing result 1 - 5 of 588 swedish dissertations containing the words limit order book.
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1. A Differentiable Approach to Stochastic Differential Equations : the Smoluchowski Limit Revisited
Abstract : In this thesis we generalize results by Smoluchowski [43], Chandrasekhar[6], Kramers, and Nelson [30]. Their aim is to construct Brownian motion as a limit of stochastic processes with differentiable sample paths by exploiting a scaling limit which is a particular type of averaging studied by Papanicolao [35]. READ MORE
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2. Generalizations of Szego Limit Theorem : Higher Order Terms and Discontinuous Symbols
Abstract : .... READ MORE
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3. Generative models of limit order books
Abstract : In this thesis generative models in machine learning are developed with the overall aim to improve methods for algorithmic trading on high-frequency electronic exchanges based on limit order books. The thesis consists of two papers. READ MORE
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4. Stock data, trade durations, and limit order book information
Abstract : This thesis comprises four papers concerning trade durations and limit order book information. Paper [1], [2] and [4] study trader durations, e.g., the time between stock transactions in intra-day data. READ MORE
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5. Essays on Derivatives and Liquidity
Abstract : This dissertation contains four essays in which derivatives markets are studied in relation to three related topics in financial economics: asset pricing, market microstructure and risk management.Essay I studies the role of relative option liquidity in explaining the volatility smile. READ MORE