Analysis of the limit order using jump process models = 점프 과정 모델을 사용한 지정가 주문 분석

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We propose a discrete and a continuous limit order book models in trading of financial assets, employing compound Poisson processes and Brownian motions with drift, and derive the distributions of future best buy and best sell prices based on the current limit order book state. To analyze short-term price movement, we compute distribution of hitting time of limit order volume processes. We suggest a method to compute an efficient price, which is an underlying (semi)martingale process of an market price process, under the limit order book models by computing the expectations of future mid price. We prove the martingale property of the efficient price under the bid-ask symmetry condition. Moreover, we check the efficiency of our models using the market data. Finally, we suggest continuous processes with a self-exciting feature which can be applied to various models including limit order books, and computed its limit properties.
Advisors
Choe, Geon Horesearcher최건호researcher
Description
한국과학기술원 :수리과학과,
Publisher
한국과학기술원
Issue Date
2019
Identifier
325007
Language
eng
Description

학위논문(박사) - 한국과학기술원 : 수리과학과, 2019.2,[iv, 53 p. :]

Keywords

Limit order book▼apoisson process▼aefficient price▼amartingale▼aself-exciting process; 지정가 주문▼a푸와송 과정▼a유효 가격▼a마틴게일▼a자기여기 과정

URI
http://hdl.handle.net/10203/264949
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=842150&flag=dissertation
Appears in Collection
MA-Theses_Ph.D.(박사논문)
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