Fire Sale in High Frequency Order Book
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Date
2020-07
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Indian Statistical Institute, Kolkata
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
Keywords
Fire sale, Market maker
Citation
20p.
