Browsing by Author "Das, Debam Kumar"

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    Fire Sale in High Frequency Order Book
    (Indian Statistical Institute, Kolkata, 2020-07) Das, Debam Kumar
    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.