2 papers
q-fin.PR2024
A Limit Order Book Model for High Frequency Trading with Rough Volatility
Yun Chen-Shue, Yukun Li, Jiongmin Yong
We introduce a model for limit order book of a certain security with two main features: First, both the limit orders and market orders for the given asset are allowed to appear and…
math.OC2024
Long-Time Behavior of Zero-Sum Linear-Quadratic Stochastic Differential Games
Jingrui Sun, Jiongmin Yong
The paper investigates the long-time behavior of zero-sum linear-quadratic stochastic differential games, aiming to demonstrate that, under appropriate conditions, both the saddle…