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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 challenging directions and spin-offs of this program are currently been investigated: parameter calibration, applications in optimal market-making strategies, models for a corrrelated bivariate Limit-Order-Book flow, among others.



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