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Transform analysis for Hawkes processes with applications in dark pool trading
Gao, Xuefeng
;
Zhou, Xiang
;
Zhu, Lingjiong
- In:
Quantitative finance
18
(
2018
)
2
,
pp. 265-282
Persistent link: https://www.econbiz.de/10011905921
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Optimal market making in the presence of latency
Gao, Xuefeng
;
Wang, Yunhan
- In:
Quantitative finance
20
(
2020
)
9
,
pp. 1495-1512
Persistent link: https://www.econbiz.de/10012295618
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3
Optimal order execution using hidden orders
Chen, Yuanyuan
;
Gao, Xuefeng
;
Li, Duan
- In:
Journal of economic dynamics & control
94
(
2018
),
pp. 89-116
Persistent link: https://www.econbiz.de/10012004233
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4
Asymptotically optimal control of make-to-stock systems
Gao, Xuefeng
;
Huang, Junfei
- In:
Mathematics of operations research
49
(
2024
)
2
,
pp. 948-985
Persistent link: https://www.econbiz.de/10014564924
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5
Order scoring, bandit learning and order cancellations
Gao, Xuefeng
;
Xu, Tianrun
- In:
Journal of economic dynamics & control
134
(
2022
),
pp. 1-28
Persistent link: https://www.econbiz.de/10013384695
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Sublinear regret for learning POMDPs
Xiong, Yi
;
Chen, Ningyuan
;
Gao, Xuefeng
;
Zhou, Sean Xiang
- In:
Production and operations management : the flagship …
31
(
2022
)
9
,
pp. 3491-3504
Persistent link: https://www.econbiz.de/10013419338
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A data-driven deep learning approach for options market making
Lai, Qianhui
;
Gao, Xuefeng
;
Li, Lingfei
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 777-797
Persistent link: https://www.econbiz.de/10014304348
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Technical note: asymptotically optimal control of omnichannel service systems with pick-up guarantees
Gao, Xuefeng
;
Huang, Junfei
;
Zhang, Jiheng
- In:
Operations research
72
(
2024
)
4
,
pp. 1739-1748
Persistent link: https://www.econbiz.de/10015045708
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Short maturity options for Azéma-Yor martingales
Zhu, Lingjiong
- In:
International journal of financial engineering
2
(
2015
)
4
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011493322
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10
Stocking under random demand and product variety : exact models and heuristics
Ghosh, Vashkar
;
Paul, Anand
;
Zhu, Lingjiong
- In:
Production and operations management : the flagship …
31
(
2022
)
3
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pp. 1006-1032
Persistent link: https://www.econbiz.de/10013164032
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