Limit Order Book Thesis - Vision specialist

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Awarding Institution University of Cambridge. Metadata Show full item record. Description E-thesis pagination differs from hardbound copy kept in the Manuscripts Department, Cambridge University Library. Abstract We analyse the steady-state behaviour of two different models with collaborating queues: The first example is a large-scale service system, such as a call centre.

Collaboration is the result of cross-trained staff attending to several different types of incoming calls. We first examine a load-balancing policy, which aims to keep servers in different pools equally busy.

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Although the policy behaves order-optimally over fixed time horizons, we show that the steady-state distribution may fail to be tight on the diffusion scale.

That is, in a family of ever-larger networks whose arrival rates grow as O r where r is a scaling parameter growing to infinitythe sequence of steady-state deviations from equilibrium scaled down by sqrt r is not tight.

What is the difference between a limit and market order?

For this policy we conjecture that tightness holds on the diffusion scale as well. The second example models a limit order book, a pricing mechanism for a single-commodity market in which buyers respectively sellers are prepared to wait for the price to drop respectively rise.

We analyse the behaviour of a simplified model, in which the arrival events are independent of each other and the state of the limit order book.

The system can be represented by a queueing model, with "customers" and "servers" corresponding to bids and asks; the roles of customers and servers are symmetric.

A thesis submitted in conformity with the requirements for the degree of Master of Applied Science Statistical Arbitrage Using Limit Order Book Imbalance. Optimal Placement in a Limit Order Book Xin Guo Dept of IEOR, UC Berkeley, Abstract Algorithmic trading refers to the automatic and rapid trading. forecasts short term price changes in the limit order book. The thesis is intended test the. Modelling empirical features and liquidity resilience in the Limit Order Book Efstathios Panayi A dissertation submitted in partial fulfillment of the requirements. The aim of this thesis is to outline a new approach to the Limit Order Book's (LOB) modelling. This is accomplished starting from the existing literature and then.

We show that, with probability 1, the price interval breaks up into three regions. At small respectively large prices, only finitely many bid respectively ask orders ever get fulfilled, while in the middle region all orders eventually clear. We derive equations which Limit Order Book Thesis the boundaries between these regions, and solve them explicitly in the case of iid uniform arrivals to obtain numeric values of the thresholds. We derive a heuristic for the distribution of the highest bid respectively lowest askand present simulation data confirming it.

Keywords Many-server queues, Limit order book. Recommended or similar items.