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


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 ]


  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


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

Presentation Files

The presenter has not uploaded any presentation files.