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Thesis

Limit order books, diffusion approximations and reflected SPDEs: from microscopic to macroscopic models

Abstract:

Motivated by a zero-intelligence approach, the aim of this thesis is to unify the microscopic (discrete price and volume), mesoscopic (discrete price and continuous volume) and macroscopic (continuous price and volume) frameworks of limit order books, with a view to providing a novel yet analytically tractable description of their behaviour in a high to ultra high-frequency setting. Starting with the canonical microscopic framework, the first part of the thesis examines the limiting behav...

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Division:
MPLS
Department:
Mathematical Institute
Role:
Author

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Supervisor
Oxford-Man Institute More from this funder
Mathematical Institute More from this funder
Merton College More from this funder
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
University of Oxford

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