Please use this identifier to cite or link to this item:
http://hdl.handle.net/10263/7160| Title: | Fire Sale in High Frequency Order Book |
| Authors: | Das, Debam Kumar |
| Keywords: | Fire sale Market maker |
| Issue Date: | Jul-2020 |
| Publisher: | Indian Statistical Institute, Kolkata |
| Citation: | 20p. |
| Series/Report no.: | Dissertation;;2020-9 |
| Abstract: | 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. |
| Description: | Dissertation under the supervision of Dr. Diganta Mukherjee, Professor, Sampling and Official Statistics Unit |
| URI: | http://hdl.handle.net/10263/7160 |
| Appears in Collections: | Dissertations - M Tech (CS) |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Debam_Kumar_Das_CS1805_MTech-CS_Dissertation_submission.pdf | 1.29 MB | Adobe PDF | View/Open |
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