An order flow model and a liquidity measure of financial markets
Name
320433350-MIT.pdf
Description
Full printable version
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Author(s)
Kim, Adlar Jeewook
Advisor(s)
Tomaso Poggio, Andrew W. Lo and J. Doyne Farmer.
Date Issued
2008
Publisher
Massachusetts Institute of Technology
Abstract
The thesis seeks a better understanding of liquidity generation process of financial markets and attempts to find a quantitative measure of market liquidity. Various statistical modeling techniques are introduced to model order flow generation, which is a liquidity generation process of the market. The order flow model successively replicates various statistical properties of price returns including fat-tailed distribution of returns, no autocorrelation of returns and strong positive autocorrelation of transaction signs. While attempting to explain how the order flow model satisfies Efficient Market Hypothesis (EMH), I discovered a method of calibrating market liquidity from order flow data.
Description
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 2008.
Includes bibliographical references (leaves 151-157).
Subjects
Electrical Engineering and Computer Science.
MIT Department
Massachusetts Institute of Technology. Department of Electrical Engineering and Computer Science
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