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Found 5 papers, 1 papers with code
Aggregation of financial markets
We present a formal framework for the aggregation of financial markets mediated by arbitrage.
On Parametric Optimal Execution and Machine Learning Surrogates
Precise calibration of price impact, resilience, etc., is known to be extremely challenging and hence it is critical to understand sensitivity of the execution policy to these parameters.
Trading with the Crowd
We formulate and solve a multi-player stochastic differential game between financial agents who seek to cost-efficiently liquidate their position in a risky asset in the presence of jointly aggregated transient price impact, along with taking into account a common general price predicting signal.
Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
We study optimal liquidation in the presence of linear temporary and transient price impact along with taking into account a general price predicting finite-variation signal.
A two-player portfolio tracking game
We study the competition of two strategic agents for liquidity in the benchmark portfolio tracking setup of Bank, Soner, Vo{\ss} (2017).
