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

Abstract


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.

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. 

Time


Nov. 23rd, 2017

14:00 ~ 15:00

Speaker


Prof. Xuefeng Gao, Chinese University of Hong Kong

Venue


Conference room 308, School of Information Management & Engineering, Shanghai University of Finance & Economics