Sökning: "Limit order book"
Visar resultat 1 - 5 av 620 avhandlingar innehållade orden Limit order book.
1. A Differentiable Approach to Stochastic Differential Equations : the Smoluchowski Limit Revisited
Sammanfattning : 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]. LÄS MER
2. Generalizations of Szego Limit Theorem : Higher Order Terms and Discontinuous Symbols
Sammanfattning : .... LÄS MER
3. Generative models of limit order books
Sammanfattning : 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. LÄS MER
4. Stock data, trade durations, and limit order book information
Sammanfattning : 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. LÄS MER
5. Essays on Derivatives and Liquidity
Sammanfattning : 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. LÄS MER