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[会议论文] 作者:Gao Xuefeng,
来源:第八届工业与应用数学国际大会 年份:2015
We investigate the dynamics of the limit order book shape on the “macroscopic"time scale,motivated by study of price impact and optimal execution....
[会议论文] 作者:Chen Yuanyuan,Li Duan,Gao Xuefeng,
来源:第八届工业与应用数学国际大会 年份:2015
We study a multi-stage optimal exposure problem which a large buyer faces.The buyer needs to decide at each time t whether to submit limit order or hidden o...
[会议论文] 作者:Ludkovski Mike,Leung Tim,Gao Xuefeng,
来源:第八届工业与应用数学国际大会 年份:2015
The availability of high frequency financial data opens up new arenas for the application of continuous time stochastic modeling and introduces new problems...
Enjoy the most beautiful scene now: a memetic algorithm to solve two-fold time-dependent arc oriente
[期刊论文] 作者:Chao CHEN,Liping GAO,Xuefeng XIE,Zhu WANG,
来源:计算机科学前沿 年份:2004
Traditional route planners commonly focus on finding the shortest path between two points in terms of travel distance or time over road networks.However,in real...
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