Skip to main navigation Skip to main content
The University of Southampton
Southampton Statistical Sciences Research Institute

Brownian Trading Excursions Seminar

Time:
15:55 - 16:50
Date:
3 November 2016
Venue:
Building 54/Room 5025

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.

Speaker information

Prof Thorsten Rheinländer , Vienna University of Technology and also a Visiting Professor at London . School of Economics and Political Science

Privacy Settings