Mathematical Finance and Probability Seminars (Since covid these events are taking place online.)
Equilibrium Model of Limit Order Book and Optimal Execution Problem
Tuesday, March 12, 2019 at 11:50am - 12:55pm
Eunjung Noh
We study a continuous time equilibrium model of limit order book (LOB) in which the liquidity dynamics follows a non-local, reflected mean-field stochastic differential equation (SDE) with evolving intensity. We argue that the best ask price is the value function of a mean-field stochastic control problem, as the limiting version of a Bertrand-type competition among the liquidity providers. We then study an optimal execution problem under the equilibrium model of LOB.
Location Hill 705