Ton Dieker

Columbia University - Fu Foundation School of Engineering and Applied Science

New York, NY

United States

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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)
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Abstract:

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