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Peter A Whigham, Department of Information Science


A Simple Model for a Limit-order Driven Market


Archway 2 - 1:00 pm, Friday 19 March


This talk will introduce a simple model for a limit-order driven market. Although fundamentally random, the model has some interesting properties that make it suitable for comparison with real markets. Several extensions to the model are described, and we ask the question: "Can you learn how to make money from a market if the price signal is random?". Clearly, since I'm still working at the university, the answer is probably not a resounding "yes"....

Last modified: Tuesday, 16-Mar-2010 09:31:27 NZDT

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