Seminari de finances quantitatives
Speaker: Thorsten Rheinländer, Vienna University of Technology "On the stochastic heat equation and the limit order book"
- https://mat.upc.edu/ca/activitats/seminari-de-finances-quantitatives
- Seminari de finances quantitatives
- 2016-02-04T16:00:00+01:00
- 2016-02-04T23:59:59+01:00
- Speaker: Thorsten Rheinländer, Vienna University of Technology "On the stochastic heat equation and the limit order book"
04/02/2016 des de 16:00 (Europe/Madrid / UTC100)
Speaker: Thorsten Rheinländer, Vienna University of Technology "On the stochastic heat equation and the limit order book"
Us informem de la propera sessió del seminari de finances quantitatives
Dijous 4 de febrer a les 16:00 a l'IMUB, Facultat de Matemàtiques, UB. Abstract: Motivated by a study of the limit order book, we can express the unique weak solution of the stochastic heat equation with multiplicative noise in terms of a Brownian local time functional. Moreover, we will discuss trading excursions, and derive a hyperbolic function table for the Laplace transforms of various times to different trading events.
Més informació a http://www.crm.cat/en/Research/Networks/QuantitativeFinance/Pages/Seminar.aspx
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