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Article: On Optimal Strategy for Limit Order Book Submission Problems

TitleOn Optimal Strategy for Limit Order Book Submission Problems
Authors
SONG, NXIE, YChing, WKSiu, TYiu, C
KeywordsDiffusion approximation
Hamilton-Jacobi-Bellman (HJB) Equation
High-frequency trading
Limit Order Book (LOB)
Issue Date2016
PublisherCambridge University Press. The Journal's web site is located at https://www.cambridge.org/core/journals/east-asian-journal-on-applied-mathematics/all-issues
Citation
East Asia Journal of Applied Mathematics, 2016, v. 6 n. 2, p. 222-234 How to Cite?
DOI: http://dx.doi.org/10.4208/eajam.230515.160316a
Persistent Identifierhttp://hdl.handle.net/10722/229225
ISSN
2079-7362
2021 Impact Factor: 2.011
2020 SCImago Journal Rankings: 0.421
ISI Accession Number ID
WOS:000376171200007

 

DC FieldValueLanguage
dc.contributor.authorSONG, N-
dc.contributor.authorXIE, Y-
dc.contributor.authorChing, WK-
dc.contributor.authorSiu, T-
dc.contributor.authorYiu, C-
dc.date.accessioned2016-08-23T14:09:45Z-
dc.date.available2016-08-23T14:09:45Z-
dc.date.issued2016-
dc.identifier.citationEast Asia Journal of Applied Mathematics, 2016, v. 6 n. 2, p. 222-234-
dc.identifier.issn2079-7362-
dc.identifier.urihttp://hdl.handle.net/10722/229225-
dc.languageeng-
dc.publisherCambridge University Press. The Journal's web site is located at https://www.cambridge.org/core/journals/east-asian-journal-on-applied-mathematics/all-issues-
dc.relation.ispartofEast Asia Journal of Applied Mathematics-
dc.rightsEast Asia Journal of Applied Mathematics. Copyright © Cambridge University Press.-
dc.subjectDiffusion approximation-
dc.subjectHamilton-Jacobi-Bellman (HJB) Equation-
dc.subjectHigh-frequency trading-
dc.subjectLimit Order Book (LOB)-
dc.titleOn Optimal Strategy for Limit Order Book Submission Problems-
dc.typeArticle-
dc.identifier.emailChing, WK: wching@hku.hk-
dc.identifier.authorityChing, WK=rp00679-
dc.identifier.doi10.4208/eajam.230515.160316a-
dc.identifier.scopuseid_2-s2.0-84966711355-
dc.identifier.hkuros262443-
dc.identifier.volume6-
dc.identifier.issue2-
dc.identifier.spage222-
dc.identifier.epage234-
dc.identifier.isiWOS:000376171200007-
dc.publisher.placeUnited States-
dc.identifier.issnl2079-7362-

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