Management Science and Financial Engineering

  • 제19권1호
  • /
  • Pages.37-41
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  • 2013
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  • 2287-2043(pISSN)
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  • 2287-2361(eISSN)
한국경영과학회 (The Korean Operations Research and Management Science Society)
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A Stochastic Model for Order Book Dynamics: An Application to Korean Stock Index Futures

  • 투고 : 2012.12.21
  • 심사 : 2013.03.22
  • 발행 : 2013.05.31
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초록

This study presents an application of stochastic model for limit order book (LOB) dynamics to Korean Stock Index Futures (KOSPI 200 Futures). Since KOSPI 200 futures market is widely known as one of the most liquid markets in the world, direct application of an existing model is hardly possible. Therefore, we modified an existing model to successfully model and predict the dynamics of extremely liquid KOSPI 200 futures market.

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참고문헌

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