NUS Quantitative Finance Joint Seminar Series (Webinar)
NUS Quantitative Finance Joint Seminar Series (Webinar)
This webinar is jointly organised by Risk Management Institute and Centre for Quantitative Finance
Programme
Title: Stochastic Partial differential equation models for limit order book dynamics
Prof Rama Cont (University of Oxford)
Abstract: We propose an analytically tractable class of models for the dynamics of a limit order book, described as the solution of a stochastic partial differential equation (SPDE) with multiplicative noise. We provide conditions under which the model admits a finite dimensional realization driven by a (low-dimensional) Markov process, leading to efficient methods for estimation and computation. We study two examples of parsimonious models in this class: a two-factor model and a model in which the order book depth is mean-reverting. For each model we perform a detailed analysis of the role of different parameters, study the dynamics of the price, order book depth, volume and order imbalance, provide an intuitive financial interpretation of the variables involved and show how the model reproduces statistical properties of price changes, market depth and order flow in limit order markets.
About the Speaker
Rama Cont is Professor of Mathematics and Chair of Mathematical Finance at the University of Oxford and Director of the EPSRC Centre for Doctoral Training in Mathematics of Random Systems. Rama Cont's research focuses on stochastic analysis, stochastic processes and mathematical modeling in finance, in particular the modeling of extreme market risks, liquidity risk and systemic risk and pathwise approaches in stochastic analysis. He has co-authored more than 80 research publications,including the widely cited monograph Financial Modelling with Jump Processes (2003). He was the founding director of the Columbia Centre for Financial Engineering and founding director of the CFM-Imperial Institute of Quantitative Finance from 2014 to 2018.Prof. Cont was awarded the Louis Bachelier Prize by the French Academy of Sciences in 2010 for his research on mathematical modeling in finance and the Royal Society Award for Excellence in Interdisciplinary Research in 2017 for his work on systemic risk modelling. He was elected Fellow of the Society for Industrial and Applied Mathematics (SIAM) in 2017 for his 'contributions to stochastic analysis and mathematical modeling in finance.
For more information on all our workshops & seminars, please visit Risk Management Institute website.
For enquiries, please contact Sinta Yowendra at sintayo@nus.edu.sg
Copyright 2006-2021 © NUS Risk Management Institute