MIT Libraries logoDSpace@MIT

MIT
View Item 
  • DSpace@MIT Home
  • MIT Libraries
  • MIT Theses
  • Doctoral Theses
  • View Item
  • DSpace@MIT Home
  • MIT Libraries
  • MIT Theses
  • Doctoral Theses
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

An order flow model and a liquidity measure of financial markets

Author(s)
Kim, Adlar Jeewook
Thumbnail
DownloadFull printable version (26.87Mb)
Other Contributors
Massachusetts Institute of Technology. Dept. of Electrical Engineering and Computer Science.
Advisor
Tomaso Poggio, Andrew W. Lo and J. Doyne Farmer.
Terms of use
M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission. http://dspace.mit.edu/handle/1721.1/7582
Metadata
Show full item record
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).
 
Date issued
2008
URI
http://hdl.handle.net/1721.1/45884
Department
Massachusetts Institute of Technology. Department of Electrical Engineering and Computer Science
Publisher
Massachusetts Institute of Technology
Keywords
Electrical Engineering and Computer Science.

Collections
  • Doctoral Theses

Browse

All of DSpaceCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsThis CollectionBy Issue DateAuthorsTitlesSubjects

My Account

Login

Statistics

OA StatisticsStatistics by CountryStatistics by Department
MIT Libraries
PrivacyPermissionsAccessibilityContact us
MIT
Content created by the MIT Libraries, CC BY-NC unless otherwise noted. Notify us about copyright concerns.