Limit order markets: asymptotic analysis, order executions and dark trading

讲座简介

The adoption of electronic trading systems has transformed financial markets into a trading platform with the limit order book as a dominant trading mechanism. In this talk, we explore and discuss some of the basic questions that have arisen in limit order markets. p>

In Part I, we discuss asymptotic analysis of a two-sided Markov order book model and establish a fluid limit; In Part II, we study dynamic optimal order execution using a special order type known as hidden orders; In Part III, we discuss performance analysis questions in dark pool trading, using a Hawkes process approach. 

时间

2017-11-23

14:00 ~ 15:00

主讲人

Prof. Xuefeng Gao, Chinese University of Hong Kong

地点

信息管理与工程学院308会议室
上海财经大学（第三教学楼西侧）
上海市杨浦区武东路100号