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