Zexin Wang

Imperial College London - Department of Mathematics

South Kensington Campus

Imperial College

LONDON, SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

1.

Stochastic Liquidity as a Proxy for Nonlinear Price Impact

Number of pages: 33 Posted: 11 Dec 2022 Last Revised: 13 Nov 2023
Imperial College London - Department of Mathematics, Imperial College London - Department of Mathematics and Columbia University
Downloads 1,177 (34,465)

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nonlinear price impact; propagator model; scaling limit; optimal trading

2.

A Leland Model for Delta Hedging in Central Risk Books

Number of pages: 34 Posted: 28 Mar 2022
Imperial College London - Department of Mathematics, Imperial College London - Department of Mathematics and Columbia University
Downloads 490 (110,093)

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Market microstructure, market making, central risk book, limit orders, adverse selection

3.

Optimal Execution with Hidden Orders Under Self-Exciting Dynamics

Number of pages: 56 Posted: 01 Oct 2021
Ying Chen, Zexin Wang, Ge Zhang and Chao Zhou
National University of Singapore (NUS) - Department of Mathematics, Imperial College London - Department of Mathematics, Institute of Data Science, National University of Singapore and National University of Singapore (NUS) - Department of Mathematics
Downloads 234 (244,671)

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hidden order, optimal execution, stochastic control, Hawkes process