A Market Impact Game Under Transient Price Impact
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DOI: 10.1287/moor.2017.0916
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References listed on IDEAS
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Citations
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Cited by:
- Samuel Drapeau & Peng Luo & Alexander Schied & Dewen Xiong, 2019. "An FBSDE approach to market impact games with stochastic parameters," Papers 2001.00622, arXiv.org.
- Francesco Cordoni & Fabrizio Lillo, 2022. "Transient impact from the Nash equilibrium of a permanent market impact game," Papers 2205.00494, arXiv.org, revised Mar 2023.
- Michail Anthropelos & Constantinos Stefanakis, 2024. "Continuous-time Equilibrium Returns in Markets with Price Impact and Transaction Costs," Papers 2405.14418, arXiv.org.
- Guanxing Fu & Ulrich Horst & Xiaonyu Xia, 2020. "Portfolio Liquidation Games with Self-Exciting Order Flow," Papers 2011.05589, arXiv.org.
- Puru Gupta & Saul D. Jacka, 2023. "Portfolio Choice In Dynamic Thin Markets: Merton Meets Cournot," Papers 2309.16047, arXiv.org.
- Eyal Neuman & Moritz Voß, 2023. "Trading with the crowd," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 548-617, July.
- Eyal Neuman & Moritz Vo{ss}, 2021. "Trading with the Crowd," Papers 2106.09267, arXiv.org, revised Mar 2023.
- Masamitsu Ohnishi & Makoto Shimoshimizu, 2024. "Trade execution games in a Markovian environment," Papers 2405.07184, arXiv.org.
- Moritz Vo{ss}, 2019. "A two-player portfolio tracking game," Papers 1911.05122, arXiv.org, revised Jul 2022.
- Guanxing Fu & Paul P. Hager & Ulrich Horst, 2023. "Mean-Field Liquidation Games with Market Drop-out," Papers 2303.05783, arXiv.org, revised Sep 2023.
- Fu, Guanxing & Horst, Ulrich & Xia, Xiaonyu, 2022. "Portfolio Liquidation Games with Self-Exciting Order Flow," Rationality and Competition Discussion Paper Series 327, CRC TRR 190 Rationality and Competition.
- Guanxing Fu & Paul P. Hager & Ulrich Horst, 2024. "A Mean-Field Game of Market Entry: Portfolio Liquidation with Trading Constraints," Papers 2403.10441, arXiv.org.
- Guanxing Fu & Ulrich Horst & Xiaonyu Xia, 2022. "Portfolio liquidation games with self‐exciting order flow," Mathematical Finance, Wiley Blackwell, vol. 32(4), pages 1020-1065, October.
- Yan Dolinsky & Shir Moshe, 2021. "Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact," Papers 2111.00451, arXiv.org, revised Jan 2022.
- Masamitsu Ohnishi & Makoto Shimoshimizu, 2022. "Optimal Pair–Trade Execution with Generalized Cross–Impact," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(2), pages 253-289, June.
- Moritz Voß, 2022. "A two-player portfolio tracking game," Mathematics and Financial Economics, Springer, volume 16, number 6, June.
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Keywords
market impact game; high-frequency trading; Nash equilibrium; transient price impact; market impact; predatory trading; M -matrix; inverse-positive matrix; Kaluza sign criterion;All these keywords.
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