71 citations · 210 across the 21 of their papers we have counts for
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q-fin.TR2018
Optimal Market Making in the Presence of Latency
Xuefeng Gao, Yunhan Wang
This paper studies optimal market making for large-tick assets in the presence of latency. We consider a random walk model for the asset price, and formulate the market maker's opt…
q-fin.TR2017
Transform Analysis for Hawkes Processes with Applications in Dark Pool Trading
Xuefeng Gao, Xiang Zhou, Lingjiong Zhu
Hawkes processes are a class of simple point processes that are self-exciting and have clustering effect, with wide applications in finance, social networks and many other fields.…
q-fin.TR2014
Hydrodynamic limit of order book dynamics
Xuefeng Gao, S. J. Deng
In this paper, we establish a fluid limit for a two--sided Markov order book model. Our main result states that in a certain asymptotic regime, a pair of measure-valued processes r…