3 papers
q-fin.CP2026
A Spread-Gated Hawkes-Flocking Model for Best Bid and Ask Dynamics, with an Application to Limit Order Placement
Hyoeun Lee, Kiseop Lee
We study the joint dynamics of the best bid and ask prices with a spread-gated Hawkes-flocking model. The model tracks four types of best-quote movements: spread-narrowing movement…
q-fin.CP2020
Optimal execution with liquidity risk in a diffusive order book market
Hyoeun Lee, Kiseop Lee
We study the optimal order placement strategy with the presence of a liquidity cost. In this problem, a stock trader wishes to clear her large inventory by a predetermined time hor…
q-fin.TR2017
Optimal placement of a small order in a diffusive limit order book
José E. Figueroa-López, Hyoeun Lee, Raghu Pasupathy
We study the optimal placement problem of a stock trader who wishes to clear his/her inventory by a predetermined time horizon t, by using a limit order or a market order. For a di…