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Approximately optimal trade execution strategies under fast mean-reversion
In a fixed time horizon, appropriately executing a large amount of a particular asset -- meaning a considerable portion of the volume traded within this frame -- is challenging.
Price formation in financial markets: a game-theoretic perspective
We propose two novel frameworks to study the price formation of an asset negotiated in an order book.
On finite population games of optimal trading
We investigate stochastic differential games of optimal trading comprising a finite population.
Closed-form approximations in multi-asset market making
A large proportion of market making models derive from the seminal model of Avellaneda and Stoikov.
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