Optimal position-building strategies in competition
Fuente:
arXiv
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| Autor principal: | |
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| Formato: | Preprint |
| Publicado: |
2024
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| Materias: | |
| Acceso en línea: | |
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| _version_ | 1866912108826853376 |
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| author | Chriss, Neil A. |
| author_facet | Chriss, Neil A. |
| contents | This paper develops a mathematical framework for building a position in a stock over a fixed period of time while in competition with one or more other traders doing the same thing. We develop a game-theoretic framework that takes place in the space of trading strategies where action sets are trading strategies and traders try to devise best-response strategies to their adversaries. In this setup trading is guided by a desire to minimize the total cost of trading arising from a mixture of temporary and permanent market impact caused by the aggregate level of trading including the trader and the competition. We describe a notion of equilibrium strategies, show that they exist and provide closed-form solutions. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2409_03586 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Optimal position-building strategies in competition Chriss, Neil A. Trading and Market Microstructure This paper develops a mathematical framework for building a position in a stock over a fixed period of time while in competition with one or more other traders doing the same thing. We develop a game-theoretic framework that takes place in the space of trading strategies where action sets are trading strategies and traders try to devise best-response strategies to their adversaries. In this setup trading is guided by a desire to minimize the total cost of trading arising from a mixture of temporary and permanent market impact caused by the aggregate level of trading including the trader and the competition. We describe a notion of equilibrium strategies, show that they exist and provide closed-form solutions. |
| title | Optimal position-building strategies in competition |
| topic | Trading and Market Microstructure |
| url | https://arxiv.org/abs/2409.03586 |