Hao Liu

Imperial College London

South Kensington Campus

Exhibition Road

London, Greater London SW7 2AZ

United Kingdom

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Scholarly Papers (1)

1.

Optimal Liquidation in a Level-I Limit Order Book for Large Tick Stocks

Number of pages: 27 Posted: 08 Jan 2017 Last Revised: 15 Nov 2017
Imperial College London and Imperial College London
Downloads 90 (340,652)
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Abstract:

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limit order book, optimal liquidation, semi-Markov decision process, queueing theory, dynamic programming