Mathematical modelling of limit order books
Frédéric Abergel (Laboratoire MICS, Ecole Centrale de Paris)
The limit order book is at the core of any modern, electronic financial markets. In this talk, I will present some results pertaining to their statistical and mathematical properties. Questions such as ergodicity and stationarity, dependencies, relation betwen time scales… will be addressed and sometimes answered too.
Nonparametric statistics from cumulative sample sums
Damien Chalet (Laboratoire MICS, Ecole Centrale de Paris)
Building on recent results on record statistics of random walks, a novel family of nonparametric statistics is introduced. Single-sample statistics are shown to provide location tests, while two-sample statistics correspond to distribution equality tests. The power and efficiency of such statistics are analyzed.