Market impact is the effect caused by transactions that can move asset prices. Nash equilibria describe an optimal state for the players in a non-cooperative game. In this thesis, we combine these two concepts to analyze the competing behavior of two or more large traders in a financial market....

This dissertation is concerned with the forecasting performance of time series models for the price movements of high-frequency transaction data on the Frankfurt Stock Exchange. The availability of high quality data of this kind at an affordable cost makes it possible to investigate the...