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


Sampling and Official Statistics Unit (SOSU-Kolkata)


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.


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Creative Commons License

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


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