Fire Sale in High Frequency Order Book

Das, Debam Kumar

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