BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//talks.cam.ac.uk//v3//EN
BEGIN:VTIMEZONE
TZID:Europe/London
BEGIN:DAYLIGHT
TZOFFSETFROM:+0000
TZOFFSETTO:+0100
TZNAME:BST
DTSTART:19700329T010000
RRULE:FREQ=YEARLY;BYMONTH=3;BYDAY=-1SU
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:+0100
TZOFFSETTO:+0000
TZNAME:GMT
DTSTART:19701025T020000
RRULE:FREQ=YEARLY;BYMONTH=10;BYDAY=-1SU
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
CATEGORIES:Isaac Newton Institute Seminar Series
SUMMARY:Price dynamics in limit order markets: a multi-sca
le stochastic model and its hydrodynamic limit - C
ont\, R (Imperial College London)
DTSTART;TZID=Europe/London:20141008T114500
DTEND;TZID=Europe/London:20141008T121500
UID:TALK55028AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/55028
DESCRIPTION:The advent of high frequency trading has changed t
he landscape of financial markets\, leading to a h
eterogeneous environment where market participants
with a wide range of trading frequencies interact
through the limit order book. We propose a stocha
stic model for dynamics of price and order flow in
a limit order market\, which captures the coexist
ence of high frequency and low frequency order flo
w and examines the consequences of this heterogene
ity on price dynamics\, volatility and liquidity.
\nWe derive scaling limits of the model under diff
erent assumptions on the order flow : one variant
yields as hydrodynamic limit the Lasry-Lions (2007
) price formation model\, providing a micro-struct
ural foundation for this model\, while another set
of assumptions leads to a two-phase moving bounda
ry problem.\n
LOCATION:Seminar Room 1\, Newton Institute
CONTACT:Mustapha Amrani
END:VEVENT
END:VCALENDAR