Na Song, Wai-Ki Ching, Tak Kuen Siu, Ka Fai Cedric Yiu. Optimal Submission Problem in a Limit Order Book with VaR Constraints. In Yanling Hao, Lean Yu, editors, Fifth International Joint Conference on Computational Sciences and Optimization, CSO 2012, Harbin, Heilongjiang, China, June 23-26, 2012. pages 266-270, IEEE, 2012. [doi]
Abstract is missing.