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Optimal Liquidation with Signals : the General Propagator Case

Abi Jaber, Eduardo; Neuman, Eyal - 2022

We consider a class of optimal liquidation problems where the agent's transactions create transient price impact driven by a Volterra-type propagator along with temporary price impact. We formulate these problems as minimization of a revenue-risk functionals, where the agent also exploits...

Persistent link: https://www.econbiz.de/10014237339

Dynamic Inventory Management with Mean-Field Competition

Donnelly, Ryan Francis; Li, Zi - 2022

Agents attempt to maximize expected profits earned by selling multiple units of a perishable product where their revenue streams are affected by the prices they quote as well as the distribution of other prices quoted in the market by other agents. We propose a model which captures this...

Persistent link: https://www.econbiz.de/10014237374

Portfolio Liquidation and Ambiguity Aversion

Cartea, Álvaro - 2017

We consider an optimal execution problem where an agent holds a position in an asset which must be liquidated (using limit orders) before a terminal horizon. Beginning with a standard model for the trading dynamics, we analyse how the acknowledgement of model misspecification affects the agent's...

Persistent link: https://www.econbiz.de/10012959444

Back to the future : economic rationality and maximum entropy prediction

Barde, Sylvain - 2012

An information-theoretic thought experiment is developed to clarify why the maximum entropy methodology is appropriate for predicting the equilibrium state of economic systems. As a first step, object allocation problems, modeled as knapsack problems, are shown to be equivalent to congestion...

Persistent link: https://www.econbiz.de/10009532152

Testing the TASP : an experimental investigation of learning in games with unstable equilibria

Cason, Timothy N.; Friedman, Daniel; Hopkins, Ed - 2009

We report experiments designed to test between Nash equilibria that are stable and unstable under learning. The “TASP” (Time Average of the Shapley Polygon) gives a precise prediction about what happens when there is divergence from equilibrium under fictitious play like learning processes....

Persistent link: https://www.econbiz.de/10003921539

All symmetric equilibria in differential games with public goods

Jaakkola, Niko; Wagener, Florian Oskar Ottokar - 2020

We characterise the entire set of symmetric stationary Markov-perfect Nash equilibria (MPE) in a differential game of public good investment, using the canonical problem of climate change as an example. We provide a sufficient and necessary condition for MPE and show how the entire set of MPE is...

Persistent link: https://www.econbiz.de/10012204634

Strategic liquidity provision in limit order markets

Back, Kerry E.; Baruch, Shmuel - In: Econometrica : journal of the Econometric Society, an … 81 (2013) 1, pp. 363-392

Persistent link: https://www.econbiz.de/10009719090

Debt contracts and cooperative improvements

Krasa, Stefan; Sharma, Tridib; Villamil, Anne Patricia - In: Journal of mathematical economics 41 (2005) 7, pp. 857-874

Persistent link: https://www.econbiz.de/10003154317

Is Liquidity Largely Unpriced While Market Volatility is Systematically Priced?

Levy, Andre - 2016

We show in a fairly general setting of a buyer and seller with the same preferences trading two related assets so as to share volatility risk that illiquidity and virtually all impediments to trade cannot be priced. This is because the buying and selling counterparties must both be optimizing....

Persistent link: https://www.econbiz.de/10013001416

Portfolio Valuation Under Liquidity and Expected Shortfall Constraints

Lee, Hwayoung - 2016

deterioration of market liquidity (market depth). However, the work by Acerbi and Scandolo (Quantitative Finance, 2008, 8(7), 681 …) highlighted, in addition, the key role that the liquidity policies of the fund can have on the fund value. Funds with the … identical positions but differing liquidity policies have different values. In this paper, we describe and analyze, the …

Persistent link: https://www.econbiz.de/10012986400