1-4 September 2015
Angers - France
Europe/Paris timezone

Brownian trading excursions

1 Sep 2015, 11:50
30m
Angers - France

Angers - France

Speaker

Prof. Thorsten Rheinlander (TU Vienna)

Description

In a model for the limit order book with arrivals and cancellations, we derive an SPDE with one heating source and two cooling elements on a finite rod for the order volume which we solve in terms of local time. Moreover, via Brownian excursion theory, we provide a hyperbolic function table for the Laplace transforms of various times of trade. A bivariate Laplace-Mellin transform is introduced for the joint excursion height and length and expressed in terms of the Riemann Xi function. Finally, we show that two diferent disintegrations of the Ito measure are equivalent to Jacobi's Theta transformation formula. This is joint work with Friedrich Hubalek, Paul Krühner and Sabine Sporer.

Primary author

Prof. Thorsten Rheinlander (TU Vienna)

Presentation Materials