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Optimal Liquidation in Dark Pools
Kratz, Peter - 2015
liquidity. Pushing up prices at the traditional venue while selling in the dark pool might generate profits. If future returns … depend on historical dark pool liquidity, then sending orders to the dark pool can be worthwhile simply to gather information …
Persistent link: https://www.econbiz.de/10013010936
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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
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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
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Unbeatable imitation
Duersch, Peter; Oechssler, Joerg; Schipper, Burkhard - 2012
We show that for many classes of symmetric two-player games, the simple decision rule 'imitate-if-better' can hardly be beaten by any strategy. We provide necessary and sufficient conditions for imitation to be unbeatable in the sense that there is no strategy that can exploit imitation as a...
Persistent link: https://www.econbiz.de/10009544162
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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
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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
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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
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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
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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
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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