统计与管理学院2016年学术报告第28期

【主  题】Dynamics of Order Positions and Related Queues in a Limit Order Book

【报告人】 Lingjiong Zhu 博士

Florida State University

【时  间】 2016年6月16日（星期四）16:00－17:00

【地  点】 上海财经大学统计与管理学院大楼1208室

【摘  要】One of the most rapidly growing research areas in financial mathematics is centered around modeling limit order book (LOB) dynamics and/or minimizing the inventory/execution risk with consideration of microstructure of LOB. A critical yet missing piece of the puzzle, is the dynamics of an order position in a LOB.In this talk, we will present some of our recent progress regarding the limiting behavior of the dynamics of order positions in a LOB. As a corollary, we will present some explicit expressions for various quantities of interests, including the distribution of a particular limit order being executed by a given time, its expected value and variance. Some open problems will also be discussed. This is based on the joint work with Xin Guo and Zhao Ruan (IEOR, UC Berkeley).

【邀请人】 崔翔宇