High-Frequency Limit of Nash Equilibria in a Market Impact Game with Transient Price Impact-Reference-Cited by-同舟云学术

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High-Frequency Limit of Nash Equilibria in a Market Impact Game with Transient Price Impact

Published:2017-01 Issue:1 Volume:8 Page:589-634
ISSN:1945-497X
Container-title:SIAM Journal on Financial Mathematics
language:en
Short-container-title:SIAM J. Finan. Math.

Author:

Schied Alexander,Strehle Elias,Zhang Tao

Funder

Deutsche Forschungsgemeinschaft

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Finance,Numerical Analysis

Link

https://epubs.siam.org/doi/pdf/10.1137/16M107030X

Reference24 articles.

1. Dynamic optimal execution in a mixed-market-impact Hawkes price model

2. Optimal execution strategies in limit order books with general shape functions

3. Capacitary Measures for Completely Monotone Kernels via Singular Control

4. Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem

5. Optimal execution of portfolio transactions

Cited by 18 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Nash equilibria for relative investors with (non)linear price impact;Mathematics and Financial Economics;2024-02-28

2. Mean‐field liquidation games with market drop‐out;Mathematical Finance;2024-01-15

3. Stochastic Liquidity as a Proxy for Nonlinear Price Impact;Operations Research;2023-11-28

4. Trading with the crowd;Mathematical Finance;2023-04-11

5. Transient Impact from the Nash Equilibrium of a Permanent Market Impact Game;Dynamic Games and Applications;2023-03-21

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