Fire Sale in High Frequency Order Book

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Date

2020-07

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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.

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