dc.contributor.author |
Das, Debam Kumar |
|
dc.date.accessioned |
2021-07-05T06:08:24Z |
|
dc.date.available |
2021-07-05T06:08:24Z |
|
dc.date.issued |
2020-07 |
|
dc.identifier.citation |
20p. |
en_US |
dc.identifier.uri |
http://hdl.handle.net/10263/7160 |
|
dc.description |
Dissertation under the supervision of Dr. Diganta Mukherjee, Professor, Sampling and Official Statistics Unit |
en_US |
dc.description.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. |
en_US |
dc.language.iso |
en |
en_US |
dc.publisher |
Indian Statistical Institute, Kolkata |
en_US |
dc.relation.ispartofseries |
Dissertation;;2020-9 |
|
dc.subject |
Fire sale |
en_US |
dc.subject |
Market maker |
en_US |
dc.title |
Fire Sale in High Frequency Order Book |
en_US |
dc.type |
Other |
en_US |