Hydrodynamic Limit of Order Book Dynamics

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：liangdd1984

【摘要】

：

　　We investigate the dynamics of the limit order book shape on the “macroscopic"time scale,motivated by study of price impact and optimal execution.

【作者】

：

Gao Xuefeng

【机构】

：

The Chinese Univ.of Hong Kong

【出处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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　　We investigate the dynamics of the limit order book shape on the “macroscopic"time scale,motivated by study of price impact and optimal execution.

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