Imagen de Portada

Randomization in Optimal Execution Games

Fuente: arXiv

Guardado en:

Detalles Bibliográficos
Autores principales:	Campbell, Steven, Nutz, Marcel
Formato:	Preprint
Publicado:	2025
Materias:	Trading and Market Microstructure Mathematical Finance 91A06, 91A15, 91G10
Acceso en línea:	Acceder al recurso
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

Ejemplares similares

Optimal Execution among $N$ Traders with Transient Price Impact
por: Campbell, Steven, et al.
Publicado: (2025)

High-Frequency Analysis of a Trading Game with Transient Price Impact
por: Nutz, Marcel, et al.
Publicado: (2025)

Unwinding Stochastic Order Flow: When to Warehouse Trades
por: Nutz, Marcel, et al.
Publicado: (2023)

Liquidity provision of utility indifference type in decentralized exchanges
por: Fukasawa, Masaaki, et al.
Publicado: (2025)

Unified Approach for Hedging Impermanent Loss of Liquidity Provision
por: Lipton, Alexander, et al.
Publicado: (2024)

Growth rate of liquidity provider's wealth in G3Ms
por: Lee, Cheuk Yin, et al.
Publicado: (2024)

An Infinite-Dimensional Insider Trading Game
por: Keller, Christian, et al.
Publicado: (2026)

A New Approach for the Continuous Time Kyle-Back Strategic Insider Equilibrium Problem
por: Qiao, Bixing, et al.
Publicado: (2025)

The Support and Resistance Line Method: An Analysis via Optimal Stopping
por: Henderson, Vicky, et al.
Publicado: (2021)

Optimal Execution in Intraday Energy Markets under Hawkes Processes with Transient Impact
por: Chatziandreou, Konstantinos, et al.
Publicado: (2025)

Financial market geometry: The tube oscillator
por: Katic, Dragoljub, et al.
Publicado: (2024)

Time-Inhomogeneous Volatility Aversion for Financial Applications of Reinforcement Learning
por: Cacciamani, Federico, et al.
Publicado: (2026)

A multi-factor market-neutral investment strategy for New York Stock Exchange equities
por: Gkolemis, Georgios M., et al.
Publicado: (2024)

Interpretable Hypothesis-Driven Trading:A Rigorous Walk-Forward Validation Framework for Market Microstructure Signals
por: Deep, Gagan, et al.
Publicado: (2025)

Strategic Informed Trading and the Value of Private Information
por: Anthropelos, Michail, et al.
Publicado: (2024)

Insider trading in discrete time Kyle games
por: Kühn, Christoph, et al.
Publicado: (2023)

Non-unique time and market incompleteness
por: Angstmann, Chris, et al.
Publicado: (2026)

Optimal Bubble Riding: A Mean Field Game with Varying Entry Times
por: Tangpi, Ludovic, et al.
Publicado: (2022)

Optimal execution with deterministically time varying liquidity: well posedness and price manipulation
por: Palmari, Gianluca, et al.
Publicado: (2024)

Multiperiod Groundwater Markets
por: Cialenco, Igor, et al.
Publicado: (2026)

The Mean Field Market Model Revisited
por: Hasenbichler, Manuel, et al.
Publicado: (2023)

Optimal Benchmark Design under Costly Manipulation
por: Hernando-Veciana, Ángel
Publicado: (2025)

Explicit Signal-Adaptive Sequential Optimal Execution Quotes
por: Yu, Fenghui
Publicado: (2026)

Optimal Execution under Liquidity Uncertainty
por: Chevalier, Etienne, et al.
Publicado: (2025)

Metaorder modelling and identification from public data
por: Goliath, Ezra, et al.
Publicado: (2026)

Avellaneda-Stoikov and Cartea-Jaimungal as One Framework: A Forced Uniqueness Theorem for Inventory Market Making
por: Feys, Frank M. V.
Publicado: (2026)

Reinforcement Learning Pair Trading: A Dynamic Scaling approach
por: Yang, Hongshen, et al.
Publicado: (2024)

Post Selection Estimation of Sharpe Ratios
por: Pav, Steven E.
Publicado: (2026)

Looking into informal currency markets as Limit Order Books: impact of market makers
por: Figal, Alejandro García, et al.
Publicado: (2025)

Dynamics of Periodic Bubbles and Crashes: Modeling Market Overheating and Panic Selling via Cubic Momentum
por: Yoshida, Naohiro
Publicado: (2026)

Realized Local Volatility Surface
por: Ma, Yuming, et al.
Publicado: (2025)

A theory of passive market impact
por: Chahdi, Youssef Ouazzani, et al.
Publicado: (2024)

Optimal Trading under Instantaneous and Persistent Price Impact, Predictable Returns and Multiscale Stochastic Volatility
por: Chan, Patrick, et al.
Publicado: (2025)

Anticipatory Gains and Event-Driven Losses in Blockchain-Based Fan Tokens: Evidence from the FIFA World Cup
por: Saggu, Aman, et al.
Publicado: (2024)

The Privacy Subsidy in Continuous-Time Kyle: Cumulative Welfare under Noise-Perturbed Order-Flow Observation
por: Nakamura, Yuki
Publicado: (2026)

The Privacy Subsidy: Kyle's $λ$ under Noise-Perturbed Order-Flow Observation
por: Nakamura, Yuki
Publicado: (2026)

The Privacy Subsidy in Glosten-Milgrom: Bid-Ask Spread and Welfare under Flip-Noise Direction Observation
por: Nakamura, Yuki
Publicado: (2026)

Optimal Portfolio Choice with Cross-Impact Propagators
por: Jaber, Eduardo Abi, et al.
Publicado: (2024)

Uncertain Regulations, Definite Impacts: The Impact of the US Securities and Exchange Commission's Regulatory Interventions on Crypto Assets
por: Saggu, Aman, et al.
Publicado: (2024)

A unified theory of order flow, market impact, and volatility
por: Muhle-Karbe, Johannes, et al.
Publicado: (2026)