Simulator Models for the Limit Order Book Dynamics and their Applications
Thanks to funding from the Montreal Institute of Structured Finance and Derivatives (IFSID), I am currently setting up a new research project in collaboration with the National Bank of Canada and the Canada Research Chair in Risk Management at HEC Montreal. This component of my ongoing research program in Quantitative Finance focuses on studying simulator models for the Limit-Order-book and their applications in the analysis of liquidity costs and price impact. Different chal
3rd European Actuarial Journal Conference - Lyon, France
I gave a contributed talk in the 3rd European Actuarial Journal Conference. The title of the talk was On Application of Simulator Models for the Limit Order Book in Risk Management.