学术报告

题      目：Optimal Investment In The Presence Of Limit Order Book

报  告  人：杨晨   副教授  (邀请人：杨舟 )

                                     香港中文大学深圳

时      间：5月19日  16：00-17：00

地     点：数科院西楼二楼会议室

报告人简介:

       Chen Yang received a B.Sc. degree in Mathematics and Applied Mathematics from Zhejiang University in 2008, and a Ph.D. degree in Financial Mathematics from National University of Singapore in 2017.  Prior to joining the Chinese University of Hong Kong, he was a postdoctoral researcher at ETH Zurich from 2017 to 2019. Chen Yang’s research interests include market frictions, market microstructure, and mathematical finance.  His papers have been published in leadings journals such as RFS, MS, MOR.

摘      要：

       We study an optimal investment problem of a CARA investor trading in a market operated with a block-shaped limited order book (LOB), which synergizes three key features of market microstructure: the bid-ask spread, the market depth, and a finite market resilience. Under a Bachelier process for the dynamic of the fundamental value of the asset, we develop explicit characterization on the investor’s optimal trading strategy.