Fire Sale in High Frequency Order Book.

Date of Submission

December 2020

Date of Award

Winter 12-12-2021

Institute Name (Publisher)

Indian Statistical Institute

Document Type

Master's Dissertation

Degree Name

Master of Technology

Subject Name

Computer Science

Department

Sampling and Official Statistics Unit (SOSU-Kolkata)

Supervisor

Mukherjee, Diganta (SOSU-Kolkata; ISI)

Abstract (Summary of the Work)

This work attempts to come up with an optimal strategy that a market-maker could adopt in times of a fire sale at the high frequency level. We use a modern version of the self financing equation applied to a high frequency order book to model the market dynamics. Using the model, we setup an optimal stochastic control problem, the solution to which is the optimal strategy proposed.

Comments

ProQuest Collection ID: http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqm&rft_dat=xri:pqdiss:28842703

Control Number

ISI-DISS-2020-09

Creative Commons License

Creative Commons Attribution 4.0 International License
This work is licensed under a Creative Commons Attribution 4.0 International License.

DOI

http://dspace.isical.ac.in:8080/jspui/handle/10263/7160

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