For more information about this meeting, contact Becky Halpenny.
| Title: | "Optimal Pricing Strategies in a Limit Order Book" |
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| Seminar: | Ph.D. Thesis Defense |
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| Speaker: | Giancarlo Facchi, Adviser: Alberto Bressan, Penn State |
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| Abstract Link: | http:// |
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| Abstract: |
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| 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 |
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| Date: | 04 / 16 / 2013 |
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| Time: | 11:00am - 01:00pm |
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