Statistical Properties of Limit Order Book Events in Liquid Futures Market | Hanlon Financial Systems Center

Statistical Properties of Limit Order Book Events in Liquid Futures Market

Statistical Properties of Limit Order Book Events in Liquid Futures Market

seminar date: 
Thursday, October 9, 2014 - 5:00pm
seminar location: 
Alexei Chekhlov, Head of Research and Portfolio Manager of Systematic Alpha Management, LLC.

We will present some of the original phenomenological studies of various Limit Order Book event statistics for liquid futures markets. Even though we will be presenting experiments for such markets as S&P 500 E-Mini, Russell 2000 E-Mini, Sugar #11, we would argue that some of the statistical laws are reasonably universal and are likely to hold for most of the electronic liquid futures markets. Over 10 years have passed since some of the original breakthrough hypotheses, experiments and observations were made by Maslov (2000, 2001), Farmer et. al. (2004), and Bouchaud et. al. (2004). We would revisit those original results related to zero-intelligence agent models; very pronounced long-memory effects in light of the large subsequent passed volumes of statistical data and re-confirm their validity. Investigations of market efficiency at the level of events of the Limit Order Book will be shown at the level of various response functions.

The presentation could be of interest to students and practitioners in short-term quantitative finance and financial engineering.



Dr. Chekhlov graduated from Moscow Institute of Physics & Technology in 1990 with Highest Honors in Theoretical Physics & Applied Mathematics. He earned his PhD. in Applied & Computational Mathematics from Princeton University in 1995. Prior to co-founding SAM, Dr. Chekhlov worked for Wexford Management (Quantitative Analyst, options pricing and trading), BNP Paribas (Proprietary Trader, quantitative global fixed-income futures trading, Fixed Income Swaps Desk), TrendLogic Associates (Assistant Director of Research, global futures and equities strategies), and Systematic Alpha Management, LLC. (Co-founder and Head of Research). Dr. Chekhlov's scientific background relates to such fields as hydrodynamic instabilities and fluid turbulence. Throughout his career in science and finance, certain results of Alexei's work were published in leading physics and finance periodicals. At the present time, Dr. Chekhlov also serves as an Adjunct Professor at the Columbia University Mathematics Department. Dr. Chekhlov holds Series 3 National Commodity Futures License.