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http://dx.doi.org/10.7737/MSFE.2013.19.1.037

A Stochastic Model for Order Book Dynamics: An Application to Korean Stock Index Futures  

Lee, Yongjae (Industrial and Systems Engineering, KAIST)
Kim, Woo Chang (Industrial and Systems Engineering, KAIST)
Publication Information
Management Science and Financial Engineering / v.19, no.1, 2013 , pp. 37-41 More about this Journal
Abstract
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.
Keywords
Limit Order Book (LOB); KOSPI 200 Futures; Stochastic Modeling; Markov Chain; Financial Engineering;
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