{"id":{"repo_id":"purdue-thes","oai_identifier":"oai:docs.lib.purdue.edu:open_access_dissertations-2558"},"canonical_url":"https://search.dev.ndltd.org/etd/purdue-thes/oai:docs.lib.purdue.edu:open_access_dissertations-2558","repository":{"repo_id":"purdue-thes","name":"Purdue University","base_url":"https://docs.lib.purdue.edu/do/oai/"},"display":{"title":"STOCHASTIC MODELING OF LIMIT ORDER BOOKS: CONVERGENCE OF THE PRICE PROCESS, SIMULATION AND APPLICATIONS","abstract":"In the past two decades, electronic limit order books (LOBs) have become the most important mechanism through which securities are traded. A LOB contains the current supply and demand of a security at different prices and it can be modeled as a random, state-dependent, and high-dimensional system since typically a great number of orders are placed at many different prices at a millisecond time scale. These features lead to an inherent mathematical complexity which is extremely hard to describe in a tractable manner. Thus, depending on the purpose, different models have been proposed to capture specific properties of the underlying trading mechanism, making LOB modeling a trending topic in the quantitative and investment finance literature for the past few years. Some of the most important objectives for which a LOB model is designed are to provide algorithmic trading strategies, bottom-up estimates for a variety of parameters, better understanding of asset price formation.","abstract_html":"In the past two decades, electronic limit order books (LOBs) have become the most important mechanism through which securities are traded. A LOB contains the current supply and demand of a security at different prices and it can be modeled as a random, state-dependent, and high-dimensional system since typically a great number of orders are placed at many different prices at a millisecond time scale. These features lead to an inherent mathematical complexity which is extremely hard to describe in a tractable manner. Thus, depending on the purpose, different models have been proposed to capture specific properties of the underlying trading mechanism, making LOB modeling a trending topic in the quantitative and investment finance literature for the past few years. Some of the most important objectives for which a LOB model is designed are to provide algorithmic trading strategies, bottom-up estimates for a variety of parameters, better understanding of asset price formation.","abstract_has_math":false,"creators":["Chavez Casillas, Jonathan Allan"],"institution":null,"degree_name":"Doctor of Philosophy (PhD)","degree_level":"Dissertation","degree_discipline":"Mathematics","degree_department":null,"school":null,"contributors":["Jose E Figueroa Lopez","Frederi Viens","Jonathon Peterson","Raghu Pasupathy"],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2015,"date_issued":"2015-01-01T08:00:00Z","date_published":"2015-01-01T08:00:00Z","updated_at":"2026-07-24T03:54:38Z","subjects":["Level I","Limit Order Book","Sparsity"],"languages":[],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"https://docs.lib.purdue.edu/open_access_dissertations/1342","outbound_label":"Repository record","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor","label":"Contributor","values":["Jose E Figueroa Lopez","Frederi Viens","Jonathon Peterson","Raghu Pasupathy"]},{"key":"dc:creator","label":"Author","values":["Chavez Casillas, Jonathan Allan"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"thesis:degree_discipline","label":"Discipline","values":["Mathematics"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Dissertation"]},{"key":"thesis:degree_name","label":"Degree Name","values":["Doctor of Philosophy (PhD)"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Level I","Limit Order Book","Sparsity"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["https://docs.lib.purdue.edu/open_access_dissertations/1342"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["In the past two decades, electronic limit order books (LOBs) have become the most important mechanism through which securities are traded. A LOB contains the current supply and demand of a security at different prices and it can be modeled as a random, state-dependent, and high-dimensional system since typically a great number of orders are placed at many different prices at a millisecond time scale. These features lead to an inherent mathematical complexity which is extremely hard to describe in a tractable manner. Thus, depending on the purpose, different models have been proposed to capture specific properties of the underlying trading mechanism, making LOB modeling a trending topic in the quantitative and investment finance literature for the past few years. Some of the most important objectives for which a LOB model is designed are to provide algorithmic trading strategies, bottom-up estimates for a variety of parameters, better understanding of asset price formation."]},{"key":"dc:title","label":"Title","values":["STOCHASTIC MODELING OF LIMIT ORDER BOOKS: CONVERGENCE OF THE PRICE PROCESS, SIMULATION AND APPLICATIONS"]}]}],"canonical_facts":{"dc:contributor":["Jose E Figueroa Lopez","Frederi Viens","Jonathon Peterson","Raghu Pasupathy"],"dc:creator":["Chavez Casillas, Jonathan Allan"],"dc:description.abstract":["In the past two decades, electronic limit order books (LOBs) have become the most important mechanism through which securities are traded. A LOB contains the current supply and demand of a security at different prices and it can be modeled as a random, state-dependent, and high-dimensional system since typically a great number of orders are placed at many different prices at a millisecond time scale. These features lead to an inherent mathematical complexity which is extremely hard to describe in a tractable manner. Thus, depending on the purpose, different models have been proposed to capture specific properties of the underlying trading mechanism, making LOB modeling a trending topic in the quantitative and investment finance literature for the past few years. Some of the most important objectives for which a LOB model is designed are to provide algorithmic trading strategies, bottom-up estimates for a variety of parameters, better understanding of asset price formation."],"dc:identifier":["https://docs.lib.purdue.edu/open_access_dissertations/1342"],"dc:subject":["Level I","Limit Order Book","Sparsity"],"dc:title":["STOCHASTIC MODELING OF LIMIT ORDER BOOKS: CONVERGENCE OF THE PRICE PROCESS, SIMULATION AND APPLICATIONS"],"thesis:degree_discipline":["Mathematics"],"thesis:degree_level":["Dissertation"],"thesis:degree_name":["Doctor of Philosophy (PhD)"]},"updated_at":"2026-07-24T03:54:38Z"}