Modelling Limit Order Book Dynamics Using Point Processes

Yuanda Chen (FSU)

Time: 3:35 pm, Room: LOV 201

Abstract: I will give a brief introduction of limit order books. I will revisit the approach by Cont, Stoikov and Talreja where Poisson processes are used to model the occurrence times of events. I will discuss some modifications me and Dr. Kercheval are planning to make by adding Hawkes processes, which both capture the clustering effect and allow the introduction of dependency between different events.