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Bid ask spread in a competitive market with institutions and order size

Dey, Malay K.; Kazemi, Hossein - In: Review of quantitative finance and accounting 30 (2008) 4, pp. 433-453

Persistent link: https://www.econbiz.de/10003711396

A strategic analysis of speculative trade in a two-sided asset market with information diversity

Rockenbach, Bettina - In: International game theory review 7 (2005) 2, pp. 151-170

Persistent link: https://www.econbiz.de/10002980362

A strategic analysis of speculative trade in a two-sided asset market with information diversity

Rockenbach, Bettina - 2002

Persistent link: https://www.econbiz.de/10001724914

Mean-field game strategies for optimal execution

Huang, Xuancheng; Jaimungal, Sebastian; Nourian, Mojtaba - In: Applied mathematical finance 26 (2019) 2, pp. 153-185

Persistent link: https://www.econbiz.de/10012210268

Illiquidity and derivative valuation

Horst, Ulrich; Naujokat, Felix - 2010

In illiquid markets, option traders may have an incentive to increase their portfolio value by using their impact on the dynamics of the underlying. We provide a mathematical framework within which to value derivatives under market impact in a multi-player framework by introducing strategic...