An order flow model and a liquidity measure of financial markets
Author(s)
Kim, Adlar Jeewook
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Other Contributors
Massachusetts Institute of Technology. Dept. of Electrical Engineering and Computer Science.
Advisor
Tomaso Poggio, Andrew W. Lo and J. Doyne Farmer.
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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
2008Department
Massachusetts Institute of Technology. Department of Electrical Engineering and Computer SciencePublisher
Massachusetts Institute of Technology
Keywords
Electrical Engineering and Computer Science.