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                Department of Systems Engineering and Engineering Management
                             The Chinese University of Hong Kong

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Date: Tuesday, 4:30pm - 5:30pm, Jun 2, 2015

Title: Multiscale modeling of limit order book dynamics

Speaker: Xinyun Chen , Assistant Professor of Quantitative Finance in the Department of Applied Mathematics and Statistics at Stony Brook University.

Abstract:

We introduce a multiscale stochastic model of the limit order books of small-tick stocks, that is, stocks with large ask-bid spread. Based on this model, we study how the stock price returns are informed by the dynamics of limit orders over the entire order book. In particular, we solve the price return distribution in terms of the order flow rates under a multiscale asymptotic regime as suggested by empirical observations. We then test our model using US stock market data. We also show that, under different scaling regimes, with respect to the persistency of order flows, our model leads to different jump-diffusion models for the price process in continuous time.

Biography:

Xinyun Chen is currently an Assistant Professor of Quantitative Finance in the Department of Applied Mathematics and Statistics at Stony Brook University. She received her Ph.D degree in Operations Research at Columbia University, under the supervision of Professor Jose Blanchet. Her research focuses on analytic approximation and numerical computation of stochastic systems, with applications in financial and service engineering. She's been working on stochastic models for high-frequent trading data, and simulation algorithms for queueing networks and stochastic differential equations.

Everyone is welcome to attend the talk!

Venue: Room 1009,
      William M.W. Mong Engineering Building (ERB),
      (Engineering Building Complex Phase 2)
      The Chinese University of Hong Kong.

The talk will be hosted by:
Prof. Nan Chen,
Department of Systems Engineering and Engineering Management,
The Chinese University of Hong Kong,
E-mail: nchen@se.cuhk.edu.hk
Homepage: http://www.se.cuhk.edu.hk/nchen/

SEEM-5202 Website: http://seminar.se.cuhk.edu.hk
Email: seem5202@se.cuhk.edu.hk