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Thesis

Bayesian analysis of stochastic point processes for financial applications

Abstract:

A recent application of point processes has emerged from the electronic trading of financial assets. Many securities are now traded on purely electronic exchanges where demand and supply are aggregated in limit order books. Buy and sell trades in the asset as well as quote additions and cancellations can then be interpreted as events that not only determine the shape of the order book, but also define point processes that exhibit a rich internal structure.

A large class of such poin...

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Institution:
University of Oxford
Oxford college:
St Cross College
Department:
Mathematical,Physical & Life Sciences Division - Statistics

Contributors

Role:
Supervisor
Publication date:
2013
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
Oxford University, UK
URN:
uuid:7a756760-380b-4a16-9702-878731c757fb
Local pid:
ora:9833

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