Xuefeng Gao

The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management

Shatin, New Territories

Hong Kong

SCHOLARLY PAPERS

3

DOWNLOADS

693

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (3)

1.

Optimal Order Exposure in a Limit Order Market

Number of pages: 58 Posted: 22 Mar 2017
Yuanyuan Chen, Duan Li, Duan Li and Xuefeng Gao
National University of Singapore (NUS) - Risk Management Institute, Chinese University of Hong KongCity University of Hong Kong and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Downloads 307 (141,644)
Citation 1

Abstract:

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Hidden Order, Order Execution, Limit Order Market, Dynamic Programming

2.

Hydrodynamic Limit of Order Book Dynamics

Number of pages: 51 Posted: 28 Nov 2014
Xuefeng Gao, J. Dai, Ton Dieker and Shijie Deng
The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management, Operations Research & Information Engineering, Columbia University - Fu Foundation School of Engineering and Applied Science and Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Downloads 208 (207,613)
Citation 3

Abstract:

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limit order book, fluid approximation, scaling limit, optimal execution, measure-valued processes

3.

A Data-Driven Deep Learning Approach for Options Market Making

Number of pages: 31 Posted: 20 Apr 2022
Qianhui Lai, Xuefeng Gao and Lingfei Li
The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management and The Chinese University of Hong Kong
Downloads 178 (239,492)

Abstract:

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market making, algorithmic trading, options, deep learning, Hawkes process