Mathematical Finance and Probability Seminars

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