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Seminars

프린트페이스북

(대학원생 마일리지 적용) 학과 세미나 안내 (3/19(화), Hyoeun Lee at UIUC / Seminar Notice: 3/19 at 10:30am)

2019.03.05 14:37

교수님 및 학생분들께

 

안녕하세요

학과 세미나가 다음과 같이 진행될 예정입니다.

 

1. 일시: 3 19(화) 오전 10시 30분

 

2. 장소: 산업경영학동(E2-2) 멀티미디어(2501)

 

3. 주제Optimal Placement of a Small Order in a Diffusive Limit Order Book    

 

4. 연사Hyoeun Lee, Visiting Assistant Professor at UIUC Statistics  

 

5. 언어: 미정

 

많은 관심과 참석 부탁드립니다.

 

감사합니다.

 

 

----------------------------

 

Dear ISysE Professors and Students,

 

ISysE department invites you to attend the following seminar.

 

Speaker: Hyoeun Lee, Visiting Assistant Professor at UIUC Statistics  

Title: Optimal Placement of a Small Order in a Diffusive Limit Order Book    

 

Date & Time: Mar 19th(Tue), 10:30 am

Place: E2-2 Bldg, Multimedia Room(#2501)

Language: TBA

 

We look forward to your attendance and encourage you to forward this invitation to colleagues who may be interested in the topic.

           

With best regards,

 

Heelang Ryu

 

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We study the optimal placement problem of a stock trader who wishes to clear his/her inventory by a predetermined time horizon by using a limit order or a market order. For a diffusive market, we characterize the optimal limit order placement policy and analyze its behavior under different market conditions. In particular, we show that, in the presence of a negative drift, there exists a critical time horizon such that, for any time horizon longer than the critical time horizon, there exists an optimal placement, which, contrary to earlier works, is different from one that is placed infinitesimally close to the best ask, such as the best bid and second best bid. We also propose a simple method to approximate the critical time horizon and the optimal order placement.

 

This is a joint work with Professors J. Figueroa-Lopez and R. Pasupathy. 

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