PSU Mark
Eberly College of Science Mathematics Department

Meeting Details

For more information about this meeting, contact Becky Halpenny.

Title:"Optimal Pricing Strategies in a Limit Order Book"
Seminar:Ph.D. Thesis Defense
Speaker:Giancarlo Facchi, Adviser: Alberto Bressan, Penn State
Abstract Link:http://
Abstract:
We study a continuum model of the limit order book, viewed as a noncooperative game for n players. An external buyer asks for a random amount X > 0 of a given asset. This amount will be bought at the lowest available price, as long as the price does not exceed a given upper bound P . One or more sellers offer various quantities of the asset at different prices, competing to fulfill the incoming order, whose size is not known a priori. Depending on the probability distribution of X , we prove the existence (or non-existence) of a unique Nash equilibrium. In the positive case, the optimal pricing strategies of the various agents are explicitly determined.

Room Reservation Information

Room Number:011 Ag Science Industries
Date:04 / 16 / 2013
Time:11:00am - 01:00pm