Spread crossing in a limit order book: optimal strategies and asymptotic analysis

Abstract

We study when a precommitted trader converts a limit order to a market order inalgorithmic executions of orders. We formulate the problem as an optimal stopping problem. We present structural properties of the optimal... [ view full abstract ]

Authors

  1. Xuefeng Gao (The Chinese University of Hong Kong)
  2. Nan Chen (The Chinese University of Hong Kong)
  3. Xiang Ma (The Chinese University of Hong Kong)

Topic Areas

Asymptotics , Limit-Order Books , Optimal Execution

Session

WE-P-SW » Limit-order Book (14:30 - Wednesday, 18th July, Swift)

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