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The thermodynamics of high frequency...

Webster, Kevin Thomas.

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The thermodynamics of high frequency markets.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	The thermodynamics of high frequency markets./
作者:	Webster, Kevin Thomas.
面頁冊數:	146 p.
附註:	Source: Dissertation Abstracts International, Volume: 75-10(E), Section: B.
Contained By:	Dissertation Abstracts International75-10B(E).
標題:	Applied Mathematics. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3627279
ISBN:	9781321024333

The thermodynamics of high frequency markets.
Webster, Kevin Thomas.

The thermodynamics of high frequency markets. - 146 p.

Source: Dissertation Abstracts International, Volume: 75-10(E), Section: B.

Thesis (Ph.D.)--Princeton University, 2014.

This item must not be sold to any third party vendors.

High Frequency Trading (HFT) represents an ever growing proportion of all financial transactions as most markets have now switched to electronic order book systems. This dissertation proposes a novel methodology to analyze idiosyncrasies of the high frequency market microstructure and embed them in classical continuous time models.

ISBN: 9781321024333Subjects--Topical Terms:

1669109
Applied Mathematics.

The thermodynamics of high frequency markets.
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245 1 4 $a The thermodynamics of high frequency markets.
300 $a 146 p.
500 $a Source: Dissertation Abstracts International, Volume: 75-10(E), Section: B.
500 $a Adviser: Rene Carmona.
502 $a Thesis (Ph.D.)--Princeton University, 2014.
506 $a This item must not be sold to any third party vendors.
520 $a High Frequency Trading (HFT) represents an ever growing proportion of all financial transactions as most markets have now switched to electronic order book systems. This dissertation proposes a novel methodology to analyze idiosyncrasies of the high frequency market microstructure and embed them in classical continuous time models.
520 $a The main technical result is the derivation of continuous time equations which generalize the self-financing relationships of frictionless markets to electronic markets with limit order books. We use NASDAQ ITCH data to identify significant empirical features such as price impact and recovery, rough paths of inventories and vanishing bid-ask spreads. Starting from these features, we identify microscopic identities holding on the trade clock, and through a diffusion limit argument, derive continuous time equations which provide a macroscopic description of properties of the order book.
520 $a These equations naturally differentiate between trading via limit and market orders. We give several applications to illustrate their impact and how they can be used to the benefit of Low Frequency Traders (LFTs). In particular, option pricing and market making models are proposed and solved, leading to new insights as to the impact of limit orders and market orders on trading strategies.
590 $a School code: 0181.
650 4 $a Applied Mathematics. $3 1669109
650 4 $a Economics, Finance. $3 626650
650 4 $a Economics, General. $3 1017424
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710 2 $a Princeton University. $b Operations Research and Financial Engineering. $3 2096743
773 0 $t Dissertation Abstracts International $g 75-10B(E).
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791 $a Ph.D.
792 $a 2014
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3627279