Xin Guo

University of California, Berkeley

Associate Professor

IEOR Department

4135 Etcheverry Hall

Berkeley, CA 94720

United States

http://www.ieor.berkeley.edu/~xinguo

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Scholarly Papers (1)

1.

Optimal Placement in a Limit Order Book

Number of pages: 26 Posted: 01 Sep 2013 Last Revised: 27 Jul 2016
University of California, Berkeley, Université Paris VII Denis Diderot and University of California, Berkeley
Downloads 206 (147,718)
Citation 6

Abstract:

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