[Ml-stat-talks] Fwd: [ORFE-Seminars] ORFE Colloquium: Steve Shreve, March 1st at 4:30pm, Sherrerd Hall 101

Barbara Engelhardt bee at princeton.edu
Tue Feb 23 22:36:03 EST 2016

Talk of interest.

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=== ORFE Colloquium Announcement ===

DATE:  Tuesday, March 1, 2016

TIME:  4:30pm

LOCATION:  Sherrerd Hall, room 101

SPEAKER: Steve Shreve, Carnegie Mellon University

TITLE:   A Diffusion Model for Limit-Order Book Evolution

ABSTRACT:   With the movement away from the trading floor to electronic
exchanges and the accompanying substantial increase in the volume of order
submission has come the need for tractable mathematical models of the
evolution of the limit-order book. The problem is inherently high
dimensional, and any realistic description of order flows must have them
depend on the state of the limit-order book. Poisson process models for the
evolution of the limit-order book have been proposed, but the analysis of
these is either difficult or impossible. In this talk, we show how
diffusion scaling of a simple Poisson model, inspired by queuing theory,
can lead to a rich yet tractable diffusion model for the evolution of the
limit-order book. We then show how to compute the probability of up and
down price moves and the time between price changes in this model. This is
joint work with Chris Almost, John Lehoczky and Xiaofeng Yu.

Barbara E Engelhardt
Assistant Professor
Department of Computer Science
Center for Statistics and Machine Learning
Princeton University
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