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Dynamic Trading in a Limit Order Book : = Co-Integration, Option Hedging and Queueing Dynamics.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Dynamic Trading in a Limit Order Book :/
Reminder of title:	Co-Integration, Option Hedging and Queueing Dynamics.
Author:	Gan, Luhui.
Description:	1 online resource (190 pages)
Notes:	Source: Dissertation Abstracts International, Volume: 79-05(E), Section: A.
Contained By:	Dissertation Abstracts International79-05A(E).
Subject:	Finance. -
Online resource:	click for full text (PQDT)
ISBN:	9780355532180

Dynamic Trading in a Limit Order Book : = Co-Integration, Option Hedging and Queueing Dynamics.
Gan, Luhui.

Dynamic Trading in a Limit Order Book :Co-Integration, Option Hedging and Queueing Dynamics. - 1 online resource (190 pages)

Source: Dissertation Abstracts International, Volume: 79-05(E), Section: A.

Thesis (Ph.D.)

Includes bibliographical references

We show how an agent dynamically trades in a limit order book, accounting for asset co-movement, exposure to a contingent claim and queue position of limit orders. Inspired by real-world trading problems, we propose models that capture relevant market dynamics and formulate stochastic control problems for the agent. We derive the associated dynamic programming equations and prove existence and uniqueness of the solutions under mild conditions. We provide numerical schemes to solve the equations and address convergence issues, when appropriate. We calibrate the models to real data and demonstrate the optimal strategies by numerical examples. Our work is complete in that it bridges the gap between abstract mathematical theory and practical implementation.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9780355532180Subjects--Topical Terms:

559073
Finance.
Index Terms--Genre/Form:

554714
Electronic books.

Dynamic Trading in a Limit Order Book : = Co-Integration, Option Hedging and Queueing Dynamics.
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245 1 0 $a Dynamic Trading in a Limit Order Book : $b Co-Integration, Option Hedging and Queueing Dynamics.
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300 $a 1 online resource (190 pages)
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500 $a Source: Dissertation Abstracts International, Volume: 79-05(E), Section: A.
500 $a Adviser: Sebastian Jaimungal.
502 $a Thesis (Ph.D.) $c University of Toronto (Canada) $d 2017.
504 $a Includes bibliographical references
520 $a We show how an agent dynamically trades in a limit order book, accounting for asset co-movement, exposure to a contingent claim and queue position of limit orders. Inspired by real-world trading problems, we propose models that capture relevant market dynamics and formulate stochastic control problems for the agent. We derive the associated dynamic programming equations and prove existence and uniqueness of the solutions under mild conditions. We provide numerical schemes to solve the equations and address convergence issues, when appropriate. We calibrate the models to real data and demonstrate the optimal strategies by numerical examples. Our work is complete in that it bridges the gap between abstract mathematical theory and practical implementation.
520 $a For an agent executing a basket of assets, we show how she can improve her strategy by employing information from co-movements of multiples assets, even if some assets are outside of the basket. We derive the agent's trading speed in closed-form and use simulations to demonstrate the performance of the optimal strategy. Furthermore, for an agent who takes a short position in a contingent claim, we show how she maximizes her expected utility of wealth by trading the underlying asset. She employs market orders to keep the inventory on target to replicate the payoff of the claim and uses limit orders to build the inventory at a favorable price and boost expected terminal wealth by completing round-trip trades that earn the spread. Finally, we show how an agent incorporates queue position of her limit order in the decision of whether to cancel the order or let it rest. The extra information on queue position enables the agent to better predict the execution time of the order and the time that the limit order book switches regime. A simulation study demonstrates that the optimal strategy significantly outperforms a benchmark that ignores the effect of queue position.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Finance. $3 559073
650 4 $a Mathematics. $3 527692
650 4 $a Statistics. $3 556824
655 7 $a Electronic books. $2 local $3 554714
690 $a 0508
690 $a 0405
690 $a 0463
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a University of Toronto (Canada). $b Statistics. $3 1179792
773 0 $t Dissertation Abstracts International $g 79-05A(E).
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10633798 $z click for full text (PQDT)