Search for dissertations about: "limit order book"

Showing result 1 - 5 of 529 swedish dissertations containing the words limit order book.

  1. 1. A Differentiable Approach to Stochastic Differential Equations : the Smoluchowski Limit Revisited

    Author : Haidar Al-Talibi; Astrid Hilbert; Yaozhong Hu; Linnéuniversitetet; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; α-stable Lévy noise; Fractional Brownian motion; Girsanov theorem; Mean-field model; Nonlinear stochastic oscillator; Ornstein-Uhlenbeck process; Scaling limit; Second order Itô equation; Time change.; Matematik; Mathematics;

    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

  2. 2. Generalizations of Szego Limit Theorem : Higher Order Terms and Discontinuous Symbols

    Author : Dimitri Gioev; KTH; []
    Keywords : Regularized determinants; Toeplitz operators; Wiener-Hopf operators; pseudodifferential operators PsDO on manifolds; asymptotics; general theory of PsDO; combinatorial identities; random walks; combinatorial probability; symmetric functions;

    Abstract : .... READ MORE

  3. 3. Generative models of limit order books

    Author : Hanna Hultin; Henrik Hult; Erik Lindström; KTH; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; Matematik; Mathematics;

    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

  4. 4. Stock data, trade durations, and limit order book information

    Author : Ola Simonsen; Kurt Brännäs; Johan Knif; Umeå universitet; []
    Keywords : SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Finance; Maximum likelihood; Estimation; ACD; News; Multivariate; Intraday; Market; Economics; Nationalekonomi;

    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

  5. 5. Essays on Derivatives and Liquidity

    Author : Caihong Xu; Lars Nordén; Björn Hagströmer; Hans Byström; Stockholms universitet; []
    Keywords : SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Index options; volatility smile; liquidity; index futures; expiration-day effects; limit order book; trading patience; order flows; gold futures; hedging; Business Administration; företagsekonomi;

    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