The characterization of chaos as a random-like response from a deterministic dynamical system with an extreme sensitivity to initial conditions is well-established, and has provided a stimulus to…
Friday, March 7, 2014 at 3:30pm
Frank H. T. Rhodes Hall, 655
CAM Colloquium: Howard C. Elman (Maryland) - Reduced Basis Collocation Methods for Partial Differential Equations with Random…
Abstract:
A general discrete-time framework for deriving equilibrium prices of financial assets is
proposed. It allows for heterogenous agents, unspanned random endowments and convex
trading…
High Frequency Asymptotics for the Limit Order Book
We study the one-sided limit order book for sell (or buy) orders and model it as a measure-valued process. Limit orders arrive to the book…