On a stock exchange, trading activity has an impact on stock prices. Market agents place limit orders, which come in the form of bids and asks. These orders wait in the market to be executed when another agent agrees to fulfill the transaction. We examine an ""inventory-based"" quoting strategy model developed by Marco Avellaneda and Sasha Stoikov. We expand on their work by developing a method to calibrate the model to market data using limit order data provided by Morgan Stanley. We consider solving a least squares problem which fits the model to the data using a sensitivity parameter.

Creator

• Li, Yi

Colaboradores

• Blais, Marcel Y.

Degree

• MS

Unit

• Mathematical Sciences

Publisher

• Worcester Polytechnic Institute

Language

• English

Identifier

• etd-083109-150322

Palabra Clave

• Mathematical Finance
• Limit Order Book
• Liquidity

Advisor

• Blais, Marcel Y.

Defense date

• 2009-08-31

Year

• 2009

Date created

• 2009-08-31

Resource type

• Report

Rights statement

• In Copyright

Última modificación

• 2021-01-28