no code implementations • 4 Dec 2021 • Marina Di Giacinto, Claudio Tebaldi, Tai-Ho Wang
In this paper we explore optimal liquidation in a market populated by a number of heterogeneous market makers that have limited inventory-carrying and risk-bearing capacity.
no code implementations • 29 Mar 2021 • Erio Castagnoli, Giacomo Cattelan, Fabio Maccheroni, Claudio Tebaldi, Ruodu Wang
In this paper monetary risk measures that are positively superhomogeneous, called star-shaped risk measures, are characterized and their properties studied.
