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Hua Zheng PhD


Division: Decision, Risk & Operations

Advisers:

  • Costis Maglaras
  • Ciamac C. Moallemi

HZheng14@gsb.columbia.edu

4S Uris


ABOUT ME

Education

B.S., Industribal Engineering, Tsinghua University, 2009

Research in progress

In modern equity markets, traders have a choice of many exchanges, each operating as an electronic limit order book that can be modeled as a pair of multi-class queues operating under the "time/price" priority rule. The dynamics of the exchanges are coupled via price protection mechanisms. We use mathematical models to study the order routing problem, characterize market equilibria, and derive insights about the queue, delay and adverse selection measures for different exchanges. We also have empirical results that support our findings. This is joint work with Costis Maglaras and Ciamac Moallemi.

Research Interests

  • Dynamic markets
  • Market microstructure

Papers

Queueing dynamics and state space collapse in fragemented limit order book markets
More Information Download paper (PDF)


Division: 
Decision, Risk & Operations
Research Interests: 
Dynamic markets
Market microstructure
Advisers: 
Costis Maglaras
Ciamac C. Moallemi
Research in Progress: 
In modern equity markets, traders have a choice of many exchanges, each operating as an electronic limit order book that can be modeled as a pair of multi-class queues operating under the "time/price" priority rule. The dynamics of the exchanges are coupled via price protection mechanisms. We use mathematical models to study the order routing problem, characterize market equilibria, and derive insights about the queue, delay and adverse selection measures for different exchanges. We also have empirical results that support our findings. This is joint work with Costis Maglaras and Ciamac Moallemi.
Education: 
degree: 
B.S.
major: 
Industribal Engineering
school: 
Tsinghua University
year: 
2 009
contact info: 
Office room #: 
4S
personal website: 
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