Fire Sale in High Frequency Order Book
| 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.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.identifier.citation | 20p. | en_US |
| dc.identifier.uri | http://hdl.handle.net/10263/7160 | |
| 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 |
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