Zhao Ruan

University of California, Berkeley

PhD Candidate

IEOR Department

4135 Etcheverry Hall

Berkeley, CA 94720

United States

SCHOLARLY PAPERS

2

DOWNLOADS

357

SSRN CITATIONS
Rank 47,311

SSRN RANKINGS

Top 47,311

in Total Papers Citations

1

CROSSREF CITATIONS

9

Scholarly Papers (2)

1.

Optimal Placement in a Limit Order Book

Number of pages: 26 Posted: 01 Sep 2013 Last Revised: 27 Jul 2016
Xin Guo, Adrien de Larrard and Zhao Ruan
University of California, Berkeley, Université Paris VII Denis Diderot and University of California, Berkeley
Downloads 207 (148,313)
Citation 7

Abstract:

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Optimal Placement, Optimal Execution, Limit Order Book, Correlated Random Walk, Price Impact

2.

Dynamics of Order Positions and Related Queues in a Limit Order Book

Number of pages: 42 Posted: 20 May 2015 Last Revised: 14 Oct 2015
Xin Guo, Zhao Ruan and Lingjiong Zhu
University of California, Berkeley - Department of Industrial Engineering and Operations Research, University of California, Berkeley and University of Minnesota - Minneapolis
Downloads 150 (197,218)
Citation 5

Abstract:

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Limit Order Book, Order Position, Queue Length, Fluid Limit, Functional Central Limit Theorems, Large Deviations