Brownian Trading Excursions Seminar
- Time:
- 15:55 - 16:50
- Date:
- 3 November 2016
- Venue:
- Room 5025, Building 54, University of Southampton, Highfield, Southampton, SO17 1BJ
For more information regarding this seminar, please email Professor Zudi Lu at Z.Lu@southampton.ac.uk .
Event details
We study the stochastic heat equation with multiplicative noise as a model for the relative volume distribution in a Brownian limit order book model, and express its solution as a local time functional. Moreover, in a model corresponding to the fundamental solution, we classify different trading times and derive the Laplace transforms of the times to various types of trades. This gets applied to order avalanches. This is a joint work with F. Hubalek, P. Krühner.
Speaker information
Professor Thorsten Rheinländer , Vienna University of Technology.