Xin Guo

University of California, Berkeley - Department of Industrial Engineering and Operations Research

4141 Etcheverry Hall

Berkeley, CA 94720-1777

United States

SCHOLARLY PAPERS

3

DOWNLOADS

214

CITATIONS

4

Scholarly Papers (3)

1.

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 148 (195,286)
Citation 4

Abstract:

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

2.

Mean Field Games with Singular Controls of Bounded Velocity

Number of pages: 28 Posted: 15 Mar 2017
Xin Guo and Joon Seok Lee
University of California, Berkeley - Department of Industrial Engineering and Operations Research and University of California, Berkeley - Department of Industrial Engineering and Operations Research
Downloads 49 (386,712)

Abstract:

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3.

Stylized Facts on Price Formation on Corporate Bonds and Best Execution Analysis

Number of pages: 36 Posted: 19 Apr 2019
University of California, Berkeley - Department of Industrial Engineering and Operations Research, Capital Fund Management and University of California, Berkeley - Department of Industrial Engineering and Operations Research
Downloads 17 (532,499)

Abstract:

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Bond liquidity, transaction costs analysis, riskless principal trades, price impact, Enhanced TRACE