BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Département de mathématiques et applications - ECPv6.2.2//NONSGML v1.0//EN
CALSCALE:GREGORIAN
METHOD:PUBLISH
X-WR-CALNAME:Département de mathématiques et applications
X-ORIGINAL-URL:https://www.math.ens.psl.eu
X-WR-CALDESC:évènements pour Département de mathématiques et applications
REFRESH-INTERVAL;VALUE=DURATION:PT1H
X-Robots-Tag:noindex
X-PUBLISHED-TTL:PT1H
BEGIN:VTIMEZONE
TZID:Europe/Paris
BEGIN:DAYLIGHT
TZOFFSETFROM:+0100
TZOFFSETTO:+0200
TZNAME:CEST
DTSTART:20140330T010000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:+0200
TZOFFSETTO:+0100
TZNAME:CET
DTSTART:20141026T010000
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
DTSTART;TZID=Europe/Paris:20140331T110000
DTEND;TZID=Europe/Paris:20140331T120000
DTSTAMP:20260410T154207
CREATED:20140331T090000Z
LAST-MODIFIED:20211104T095209Z
UID:8181-1396263600-1396267200@www.math.ens.psl.eu
SUMMARY:Analysis of a one-sided limit order book model
DESCRIPTION:A limit order book is a financial trading mechanism that keeps track of orders made by traders\, and allows to execute them in the future. In this talk I will present a simple model of a one-sided limit order book\, which is modeled as a point process evolving over time.I will discuss two aspects of this model: the asymptotic behavior of the so-called price process (the extremal point) and the scaling limit of the entire measure-valued process. The proofs rely on a coupling with a branching random walk with a barrier\, and on a characterization of regenerative real trees due to Weill [Ann. Probab. 2007].
URL:https://www.math.ens.psl.eu/evenement/analysis-of-a-one-sided-limit-order-book-model/
LOCATION:Salle U/V
CATEGORIES:Séminaire informel de probabilités
END:VEVENT
END:VCALENDAR