Statistical Models for LOB Systems
Econophysics is an area of study that aims to understand complex behavior and properties in economic/financial markets. Trades and Quotes (TAQ) data pulled from Johnson Graduate Management School Server from January 2014 was used in this study to analyze intertrade time duration of 39 securities and limit order book (LOB) activity. Discrete Weibull Distribution was shown to be a better model as opposed to Zero Truncated Geometric Distribution to model intertrade time duration after relevant statistical tests. Moreover, the dependance on the market sector and market cap of both shape and scale parameters of Discrete Weibull Distribution were investigated. Finally, LOB activity between two consecutive trades was analyzed for a single security and the Null Hypothesis of poisson distribution was rejected.
Lovelace, Richard V. E.
Jarrow, Robert A.; Protter, Philip E.
Ph. D., Applied Physics
Doctor of Philosophy
Attribution 4.0 International
dissertation or thesis
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