Optimal Exposure Problem in Limit Order Book
Invited conference paper presented and published in conference proceedings
CUHK Authors
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All Author(s) ListCHEN Yuanyuan, LI Duan, GAO Xuefeng
Name of ConferenceThe 6th Annual High Frequency Finance and Data Analytics
Start Date of Conference30/10/2015
Country/Region of ConferenceUnited States of America
Proceedings TitleThe 6th Annual High Frequency Finance and Data Analytics
Year2015
Month10
Day30
Place of PublicationUnited States of America, New Jersey
Pages1
LanguagesEnglish-United Kingdom
KeywordsHidden Liquidity; Limit Order Book; Optimal Control
