Add to ORKGI am deeply grateful to all people who have helped and inspired me during my doctoral study in Georgia Tech. This thesis would not have been possible without them. First of all, I would like to thank my advisors, Dr. Jim Dai and Dr. Shijie Deng. If it were not for them, I would not have chosen Algorithmic Trading as my dissertation topic, a topic that has also become a focus of my current work in J.P.Morgan. I am also thankful that they introduce me to Approximate Dynamic Programming, a interesting and powerful method for solving problems. Their passion, knowledge, and rigorous attitude toward research have deeply influenced me. These are things that I will always carry with me as I continue on in my work. I am also grateful for their under...