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Calibrating a Latent Order Book Model to Market Data
We investigate the formulation of the Latent Order Book (LOB) as a reaction diffusion Partial Differential Equation (PDE) and its subsequent numerical solution through an explicit method based on discrete stochastic processes. The numerical solution is calibrated using likelihood-free methods, Appro...
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| Format: | Thesis |
| Language: | English |
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Department of Statistical Sciences
2023
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