Optimal Exposure Problem in Limit Order Book

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：wubo123321

【摘要】

：

　　We study a multi-stage optimal exposure problem which a large buyer faces.The buyer needs to decide at each time t whether to submit limit order or hidden o

【作者】

：

Chen Yuanyuan Li Duan Gao Xuefeng

【机构】

：

The Chinese Univ.of Hong Kong

【出处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

下载到本地 , 更方便阅读

下载此文赞助VIP

声明 : 本文档内容版权归属内容提供方 , 如果您对本文有版权争议 , 可与客服联系进行内容授权或下架

论文部分内容阅读

　　We study a multi-stage optimal exposure problem which a large buyer faces.The buyer needs to decide at each time t whether to submit limit order or hidden order,or both and how many for each.

其他文献

Parameterized Model Order Reduction of Delayed Systems by Means of An Enhanced Interpolation Approac

　　High-speed systems require electromagnetic methods as analysis and design tools,which often generate large systems of equations.When the frequency content o

会议

Application of POD to Population Balance Systems in Chemical Engineering

　　Particle systems are important in the chemical industry.Particle processes are often described by population balance models containing partial integro diffe

会议

Stability in Evolutionary and Population Games

　　The replicator dynamics provide a model for Darwinian evolution.Fitter than average types proliferate while less fit types decay.It can be shown that a Nash

会议

Applications of Conformal Mapping and Complex Variable Method for Solving Heat-Conduction Equations

　　Heat-Conduction in plates under stationary and non-stationary cases,Thermal Buckling of Plates and Nonlinear analysis of Plates having polygonal or irregula

会议

China Urban Agglomeration Efficiency Research under New Industrialization

　　With the continuous development of economic globalization and regionalization,urban agglomeration,whose economic efficiency directly affects the competitive

会议

Cooperation in Dynamic Network Games with Pairwise Interactions

　　A finite cooperative multistage network game with pairwise interactions proceeds as follows.In a stage game a player plays a two-person nonzero-sum game wit

会议

A Strategic Analysis of Consumer-related Managerial Incentive Design

　　This paper investigates strategic managerial incentive design regarding firms' attitude towards consumer surplus in a duopoly where each firm consists of an

会议

Cooperative Games and Applications in Modern Industry

　　The cooperative game theory is an important part of the game theory,which belongs to the field of the applied mathematics.In modern industry,there are lots

会议

Dynamics of Order Positions in A Limit Order Book

　　The dynamics of an order position in a LOB is a critical yet missing piece when modeling the LOB and dealing with the inventory/execution risk with consider

会议

Stochastic Model for Spread-price Dynamics in Order-driven Markets

　　We construct and study a continuous time model that incorporates the whole limit order book to inform the joint evolution of the spread and the price proces

会议

Optimal Exposure Problem in Limit Order Book

与本文相关的学术论文