BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Talks.cam//talks.cam.ac.uk//
X-WR-CALNAME:Talks.cam
BEGIN:VEVENT
SUMMARY:A model for the evolution of an order book - Sasha Stoikov (Columb
 ia)
DTSTART:20080603T130000Z
DTEND:20080603T140000Z
UID:TALK11800@talks.cam.ac.uk
CONTACT:Norros I.
DESCRIPTION:We model an order book as a vector-valued continuous-time Mark
 ov chain tracking the number of limit orders in the book at each price. We
  describe an estimation procedure for our model parameters\, based on the 
 level II trade and quotes data\, and apply it to various stocks traded on 
 the Tokyo stock exchange. We then validate our model by comparing (i) one-
 step transition probabilities (ii) the daily return distributions and (iii
 ) the long term order book shape for the original data and the simulated d
 ata. Moreover\, we present techniques from the queuing theory literature t
 hat provide methods to compute probabilities of various microstructure eve
 nts of interest to technical trading in an order book. \n\n
LOCATION:MR12\, CMS\, Wilberforce Road\, Cambridge\, CB3 0WB
END:VEVENT
END:VCALENDAR