2017-11-23 | Xuefeng Gao: Limit order markets: asymptotic analysis, order executions and dark trading
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.
2017年11月23日 （周四） 14:00~15:00
Xuefeng Gao is currently an Assistant Professor at the Department of Systems Engineering and Engineering Management at Chinese University of Hong Kong. He received B.S. in Mathematics from Peking University, China in 2008, and his Ph.D. in Operations Research from Georgia Institute of Technology, USA in 2013. His research interests include applied probability, stochastic processes, queueing theory and high frequency trading. His work has been selected as Finalist in the 2011 INFORMS Junior Faculty Interest Group (JFIG) paper competition.