no code implementations • 2 Sep 2022 • Erhan Bayraktar, Ibrahim Ekren, Xin Zhang
In this paper, we study a learning problem in which a forecaster only observes partial information.
no code implementations • 23 Apr 2022 • Ibrahim Ekren, Brad Mostowski, Gordan Žitković
We construct an equilibrium for the continuous time Kyle's model with stochastic liquidity, a general distribution of the fundamental price, and correlated stock and volatility dynamics.
no code implementations • 31 Oct 2020 • Erhan Bayraktar, Ibrahim Ekren, Xin Zhang
We study the problem of prediction with expert advice with adversarial corruption where the adversary can at most corrupt one expert.
no code implementations • 16 Jun 2020 • Kerry Back, Francois Cocquemas, Ibrahim Ekren, Abraham Lioui
We establish connections between optimal transport theory and the dynamic version of the Kyle model, including new characterizations of informed trading profits via conjugate duality and Monge-Kantorovich duality.
no code implementations • 22 Nov 2019 • Erhan Bayraktar, Ibrahim Ekren, Xin Zhang
We explicitly solve the nonlinear PDE that is the continuous limit of dynamic programming of \emph{expert prediction problem} in finite horizon setting with $N=4$ experts.
no code implementations • 4 Oct 2019 • Ibrahim Ekren, Sergey Nadtochiy
In this paper, we construct the utility-based optimal hedging strategy for a European-type option in the Almgren-Chriss model with temporary price impact.
no code implementations • 6 Feb 2019 • Erhan Bayraktar, Ibrahim Ekren, Yili Zhang
For the problem of prediction with expert advice in the adversarial setting with geometric stopping, we compute the exact leading order expansion for the long time behavior of the value function.
no code implementations • 22 Jul 2018 • Peter Bank, Ibrahim Ekren, Johannes Muhle-Karbe
We study a continuous-time version of the intermediation model of Grossman and Miller (1988).
no code implementations • 1 May 2017 • Ibrahim Ekren, Johannes Muhle-Karbe
We study portfolio selection in a model with both temporary and transient price impact introduced by Garleanu and Pedersen (2016).
