Mathematical Finance and Probability Seminars
Equilibrium Model of Limit Order Book and Optimal Execution
Eunjung Noh - Rutgers University
Location: Hill 705
Date & time: Tuesday, 12 March 2019 at 11:50AM - 12:55PM
Abstract: We study a continuous time equilibrium model of limit order book (LOB) in which the liquidity dynamics follows a non-local, reflected mean-field stochastic differential equation (SDE) with evolving intensity. We argue that the best ask price is the value function of a mean-field stochastic control problem, as the limiting version of a Bertrand-type competition among the liquidity providers. We then study an optimal execution problem under the equilibrium model of LOB.