BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Talks.cam//talks.cam.ac.uk//
X-WR-CALNAME:Talks.cam
BEGIN:VEVENT
SUMMARY:High Frequency Asymptotics for the Limit Order Book - Reed\, J (Ne
 w York University)
DTSTART:20130814T133000Z
DTEND:20130814T141500Z
UID:TALK46641@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:We study the one-sided limit order book corresponding to limit
  sell orders and model it as a measure-valued process. Limit orders arrive
  to the book according to a Poisson process and are placed on the book acc
 ording to a distribution which varies depending on the current best price.
  Market orders to buy periodically arrive to the book according to a secon
 d\, independent Poisson process and remove from the book the order corresp
 onding to the current best price. We consider the above described limit or
 der book in a high frequency regime in which the rate of incoming limit an
 d market orders is large and traders place their limit sell orders close t
 o the current best price. Our first set of results provide weak limits for
  the unscaled price process and the properly scaled measure-valued limit o
 rder book process in the high frequency regime. In particular\, we charact
 erize the limiting measure-valued limit order book process as the solution
  to a measure-valued stochastic differential equation. We then provide an 
 analysis of both the transient and long-run behavior of the limiting limit
  order book process. This is joint work with Peter Lakner and Sasha Stoiko
 v.\n
LOCATION:Seminar Room 1\, Newton Institute
END:VEVENT
END:VCALENDAR