In this talk we present some recent new findings regarding optimal execution problems in an order-driven market where the limit order book (LOB) follows the so-called "equilibrium" model. More precisely, we argue that the "equilibrium utility function", which determines both the "shape" and the "frontier" of the LOB endogenously, is in fact the ...
Creator:
Ma, Jin (University of Southern California)
Created:
2018-06-11
Contributed By:
University of Minnesota, Institute for Mathematics and its Applications.