CCFZ Research Seminar


Title: A diffusion limit of a limit-order book model
Time: October 04, 2012, 17.15-18.15
Location: HG G43, Rämistrasse 101, ETH Zürich

Registration: This event is free of charge but due to administrative reasons you are kindly requested to register electronically:

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Speaker and content:


Steve Shreve , Orion Hoch Professor , Carnegie Mellon University

Stock trading today occurs almost entirely on electronic exchanges. While the first of electronic exchange, NASDAQ, was founded in 1971, most such exchanges have appeared within the past fifteen years. Even traditional exchanges, such as the NYSE, are now predominantly electronic.
Electronic exchanges maintain limit-order books, which evolve rapidly in time. A limit-order announces the desire to buy (or sell) a certain number of share of a stock at a particular price or lower (higher). If there is no matching order on the exchange at this or a better price, an arriving limit-order is queued for later execution or possible cancellation by the submitting agent. A limit-order book is thus a set of queues at each price with the size of the queue denoting the number of shares available at that price and the sign of the length denoting whether the orders are buy or sell.
In this talk we consider a model for limit-order book dynamics and discuss its diffusion limit. This is joint work with John Lehoczky and Christopher Almost.

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