[Colloquium] [statseminars] STUDENT SEMINARS - MASTER'S SEMINAR: TAEJIN KIM

[statseminars-admin at listhost.uchicago.edu]

The University of Chicago
Department of Statistics
Master's Seminar

TAEJIN KIM
Department of Statistics
The University of Chicago

Empirical Estimation of Distributions of Limit Order Book

TUESDAY, May 13, 2008 at 2:00 PM
110 Eckhart Hall, 5734 S. University Avenue

ABSTRACT

This paper studies time dependent variation of limit order book. In the 
stock market, traders submit limit orders with price and quantity that 
remain in the book until they are executed. Accordingly we can draw a 
distribution of limit orders across prices at each moment, for both bid 
and ask sides respectively. We investigate how the distributions evolve
through time and what variables are effective in explaining the  movement.

In order to estimate the time dependent distributions, we use a version 
of semi-parametric approach that facilitates economic interpretations. 
For covariates, we consider realized volatility, price changes, 
percentage spread and trading volume among others to see if they play a 
significant role in explaining the movement of mean and standard deviation.

The explanatory power of covariates appears to substantially depend on 
model specifications and not be very convincing in many cases, not the 
least due to sparseness of limit order book at each point of time. 
However, there is still plenty of room for improvement, which is in 
progress.


Information about building access for persons with disabilities may be 
obtained in advance by calling Jewanna Carver
at 773.834-5169 or by email (carver at galton.uchicago.edu).
_______________________________________________
statseminars mailing list  -  statseminars at listhost.uchicago.edu
https://listhost.uchicago.edu/mailman/listinfo/statseminars