In this talk, we consider several extensions of R. Cont and A. de Larrard (SIAM J. on Finan. Math., 2013) Markovian model to semi-Markov model suggested by empirical observations.
One of them is to extend their framework to 1) arbitrary distributions for book events inter-arrival times (possibly non-exponential) and 2) both the nature of a new book event and its corresponding inter-arrival time depend on the nature of the previous book event (not independent).
The dynamics of the bid and ask queues are modeled by Markov renewal process and the mid-prices – by a semi-Markov process. We justify and illustrate the approach by calibrating our model to the five stocks, Amazon, Apple, Google, Intel, Microsoft, on June 21st, 2012 (Lobster data), to the 15 stocks from Deutsche Boerse Group (September 23d, 2013), and to Cisco asset (November 3d, 2014).
The second extension is associated with the case when the price changes are not fixed at one tick. And the third one is related to the case with arbitrary number of states for the price changes.
For both cases the justification, diffusion limits, implementations, statistical and numerical results are presented for different LOB data: Lobster data, and Cisco, Facebook, Intel, Liberty Global, Liberty Interactive, Microsoft, Vodafone from 2014/11/03 to 2014/11/07.
The talk is based on two research papers written with my ex-students: Nelson Vadori (JP Morgan, NY), Julia Schmidt and Katharina Cera (TUM, Munich, Germany).
How to participate in this seminar:
1. Book your nearest ACE facility;
2. Notify the seminar convenor at La Trobe University (Andriy Olenko) to notify you will be participating.
No access to an ACE facility? Contact Maaike Wienk to arrange a temporary Visimeet licence for remote access (limited number of licences available – first come first serve)