Tuesday, March 25, 2014 at 4:15pm
Frank H. T. Rhodes Hall, 253
ORIE Colloquium: Rob Freund (MIT) - A First-Order View of Some Boosting Methods: Computational Guarantees and Connections to…
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…