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Author:

Facchi, Giancarlo

Title:

Optimal Bidding Strategies in a Limit Order Book

Graduate Program:

Mathematics

Keywords:

Limit Order Book
Mathematical Finance
Measure Valued Optimization
Nash equilibrium
Optimal Control
Price Impact.

File:

Download 1-GiancarloFacchi-Dissertation.pdf

Committee Members:

Alberto Bressan, Dissertation Advisor/Co-Advisor
Alberto Bressan, Committee Chair/Co-Chair
Francesca Chiaromonte, Committee Member
Lyle Norman Long, Committee Member
Anna L Mazzucato, Committee Member
Victor Nistor, Committee Member
Yuxi Zheng, Committee Member
Constantino Manuel Lagoa, Special Member

Author:

Wei, Hongxu

Title:

Equilibrium Models of the Limit Order Book

Graduate Program:

Mathematics (PHD)

Keywords:

Limit Order Book
Nash equilibrium
Repeated game
Infinite time horizon
Informed agents

File:

Download HongxuWei-Dissertation.pdf

Committee Members:

Iouri Soukhov, Major Field Member
Alexei Novikov, Major Field Member
Alexei Novikov, Program Head/Chair
Alberto Bressan, Chair, Minor Member & Dissertation Advisor
Bing Li, Outside Unit, Field & Minor Member