Martedì 3 marzo 2015 alle ore 15:30, nell'aula 3014 del Dipartimento di Matematica e Applicazioni dell'Università di Milano-Bicocca (edificio U5, via Cozzi 55, Milano),

Friedrich Hubalek (TU Wien)

terrà un seminario dal titolo

Brownian excursion limits for the avalanche length in a binomial limit order book model

Trovate il sommario di seguito. Tutti gli interessati sono invitati a partecipare.

Francesco Caravenna

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Abstract:

We briefly describe the mechanics of a stylized limit order book model for an electronic exchange, which is based on the simple symmetric random walk. While the order volume is a spacial process, we take up the study of the avalanche length of trades, that was begun by Thorsten Rheinlaender and his students in a Brownian motion model.

By more or less elementary limit calculations we connect to Ito's theory of Brownian excursions. In doing so we briefly, but inevitably meet the error, gamma, zeta, xi, theta, Bessel, and the Gauss hypergeometric function. We derive the generating function for the simplified and full avalanche length, their Brownian limits, and study the distribution of the simplified avalanche length in some detail. This is joint work with Thorsten Rheinlaender and Sabine Sporer.

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Francesco Caravenna

Dipartimento di Matematica e Applicazioni Università degli Studi di Milano-Bicocca Via Cozzi 55, 20125 Milano, Italy

http://www.matapp.unimib.it/~fcaraven/ _________________________________________