Using Exact Simulation of Order Book Dynamics for Bayesian Estimates of Structural Parameters

Uses exact simulation of limit-order-book dynamics to support Bayesian estimation of structural market-microstructure parameters.

This project builds upon earlier research and explores the application of exact and fast simulation techniques to order book dynamics, enabling Bayesian estimates of structural parameters. By leveraging fine-grained financial data, we aim to provide insights into market microstructure. This project is a collaboration with M. Bleher.