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Arbitrage pricing in non-Walrasian financial markets
Carvajal, Andrés - In: Economic theory : official journal of the Society for … 66 (2018) 4, pp. 951-978
Persistent link: https://www.econbiz.de/10012010925
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Closed-Loop Nash Competition for Liquidity
Micheli, Alessandro; Muhle-Karbe, Johannes; Neuman, Eyal - 2021
We study a multi-player stochastic differential game, where agents interact through their joint price impact on an asset that they trade to exploit a common trading signal. In this context, we prove that a closed-loop Nash equilibrium exists if the price impact parameter is small enough....
Persistent link: https://www.econbiz.de/10013312176
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The reality game
Cherkashin, Dmitriy; Farmer, J. Doyne; Lloyd, Seth - In: Journal of economic dynamics & control 33 (2009) 5, pp. 1091-1105
Persistent link: https://www.econbiz.de/10003844187
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Convergence to no arbitrage equilibria in market games
Koutsougeras, Leonidas C. (contributor) - 2002
Persistent link: https://www.econbiz.de/10001705844
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Convergence to no arbitrage equilibria in market games
Koutsougeras, Leonidas C. - In: Journal of mathematical economics 39 (2003) 5/6, pp. 401-420
Persistent link: https://www.econbiz.de/10001769158
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Arbitrage equilibria in large games with many commodities
Toraubally, Waseem A. - In: Economics letters 179 (2019), pp. 24-28
Persistent link: https://www.econbiz.de/10012121676
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The puzzle of online arbitrage and increased product returns : a game-theoretic analysis
Geda, Avinash; Pu, Jingchuan; Qiu, Liangfei - In: Production and operations management : the flagship … 32 (2023) 8, pp. 2387-2399
Persistent link: https://www.econbiz.de/10014328673
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Risk minimization and optimal derivative design in a principal agent game
Horst, Ulrich; Moreno-Bromberg, Santiago - In: Mathematics and financial economics 2 (2008) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10003880875
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Partial differential equations in economics and finance
Basov, Suran - 2007
Partial differential equations -- Elements of the theory of the Stochastic processes -- Partial differential equation … in the consumer theory -- Partial differential equations in the producer theory -- Partial differential equations and … pricing of the financial -- Derivatives -- A theory of boundedly rational behavior -- Partial differential equations in game …
Persistent link: https://www.econbiz.de/10003429606
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Essays on market design and strategic interaction
Adilov, Nodir - 2005
Persistent link: https://www.econbiz.de/10003384454