Luhui Gan

University of Toronto

PhD Candidate

Toronto, Ontario M5S 3G8

Canada

  • University of Toronto

SCHOLARLY PAPERS

4

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4

Scholarly Papers (4)

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1.

Trading Cointegrated Assets with Price Impact

Number of pages: 32 Posted: 28 Oct 2015 Last Revised: 15 Jul 2018
Álvaro Cartea, Luhui Gan and Sebastian Jaimungal
University of Oxford, University of Toronto and University of Toronto - Department of Statistics
Downloads 748 (44,026)
Citation 3

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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
Álvaro Cartea, Luhui Gan and Sebastian Jaimungal
University of Oxford, University of Toronto and University of Toronto - Department of Statistics
Downloads 410 (93,690)
Citation 1

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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 300 (132,152)
Citation 3

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

4.

Trading Co‐Integrated Assets with Price Impact

Mathematical Finance, Vol. 29, Issue 2, pp. 542-567, 2019
Number of pages: 26 Posted: 13 Mar 2019
Álvaro Cartea, Luhui Gan and Sebastian Jaimungal
University of Oxford, University of Toronto and University of Toronto - Department of Statistics
Downloads 2 (799,866)
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Abstract:

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algorithmic trading, co‐integration, co‐movements, cross‐price impact, optimal execution, price impact