The dynamics of an order position in a LOB is a critical yet missing piece when modeling the LOB and dealing with the inventory/execution risk with consider
We construct and study a continuous time model that incorporates the whole limit order book to inform the joint evolution of the spread and the price proces
We study a multi-stage optimal exposure problem which a large buyer faces.The buyer needs to decide at each time t whether to submit limit order or hidden o
The availability of high frequency financial data opens up new arenas for the application of continuous time stochastic modeling and introduces new problems
Collective behaviours of multi-agent systems(MAS)often exhibit through social interactions among their agents.We concentrate on several models of collective
In this presentation,we will report topology identification of complex dynamical networks with coupling delay via generalized synchronization of a two-layer
Network topology plays a crucial role in determining a network's intrinsic dynamics and function,thus understanding and modeling the topology of a complex n