3 papers
q-fin.TR2026
Explicit Signal-Adaptive Sequential Optimal Execution Quotes
Fenghui Yu
This paper develops a unified explicit solution theory for optimal execution through sequential limit-order placement in a limit order book. Rather than controlling only the tradin…
q-fin.TR2024
Fill Probabilities in a Limit Order Book with State-Dependent Stochastic Order Flows
Felix Lokin, Fenghui Yu
This paper studies the fill probabilities of limit orders placed at different price levels in a limit order book. These probabilities play a central role in execution optimization,…
q-fin.CP2016
Interacting Default Intensity with Hidden Markov Process
Feng-Hui Yu, Wai-Ki Ching, Jia-Wen Gu +1
In this paper we consider a reduced-form intensity-based credit risk model with a hidden Markov state process. A filtering method is proposed for extracting the underlying state gi…