Rishi Talreja

Columbia University - Department of Industrial Engineering and Operations Research (IEOR)

331 S.W. Mudd Building

500 West 120th Street

New York, NY 10027

United States

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A Stochastic Model for Order Book Dynamics

Number of pages: 23 Posted: 26 Sep 2008 Last Revised: 31 Aug 2009
Rama Cont, Sasha Stoikov and Rishi Talreja
University of Oxford, Cornell Financial Engineering Manhattan and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
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Citation 38

Abstract:

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High frequency data, limit order book, financial engineering, Laplace transform