Luhui Gan

University of Toronto

PhD Candidate

105 St George Street

Toronto, Ontario M5S 3G8

Canada

SCHOLARLY PAPERS

3

DOWNLOADS

1,889

SSRN CITATIONS

6

CROSSREF CITATIONS

4

Scholarly Papers (3)

1.

Trading Cointegrated Assets with Price Impact

Number of pages: 32 Posted: 28 Oct 2015 Last Revised: 15 Jul 2018
University of Oxford, University of Toronto and University of Toronto - Department of Statistics
Downloads 919 (51,186)
Citation 3

Abstract:

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algorithmic trading, optimal execution, price impact, cointegration, cross price impact

2.

Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders

Number of pages: 30 Posted: 13 Apr 2017
University of Oxford, University of Toronto and University of Toronto - Department of Statistics
Downloads 561 (97,452)
Citation 3

Abstract:

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Optimal hedging, market impact, impulse control, algorithmic trading, high-frequency trading

3.

Optimal Decisions in a Time Priority Queue

Number of pages: 42 Posted: 06 Feb 2017
Ryan Francis Donnelly and Luhui Gan
King's College London and University of Toronto
Downloads 409 (142,245)
Citation 3

Abstract:

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algorithmic trading, high frequency trading, limit order book, queuing model, order flow, impulse control, adverse selection