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math.OC2020
Equilibrium Model of Limit Order Books: A Mean-field Game View
Jin Ma, Eunjung Noh
In this paper 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 differenti…
math.OC2014★ 2 cited
Dynamic Equilibrium Limit Order Book Model and Optimal Execution Problem
Jin Ma, Xinyang Wang, Jianfeng Zhang
In this paper we propose a dynamic model of Limit Order Book (LOB). The main feature of our model is that the shape of the LOB is determined endogenously by an expected utility fun…