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Found 12 papers, 1 papers with code
Optimal Portfolio Choice with Cross-Impact Propagators
We consider a class of optimal portfolio choice problems in continuous time where the agent's transactions create both transient cross-impact driven by a matrix-valued Volterra propagator, as well as temporary price impact.
An Offline Learning Approach to Propagator Models
We show that a trader who tries to minimise her execution costs by using a greedy strategy purely based on the estimated propagator will encounter suboptimality due to so-called spurious correlation between the trading strategy and the estimator and due to intrinsic uncertainty resulting from a biased cost functional.
Statistical Learning with Sublinear Regret of Propagator Models
For the exploration phase we propose a novel approach for non-parametric estimation of the price impact kernel by observing only the visible price process and derive sharp bounds on the convergence rate, which are characterised by the singularity of the propagator.
Optimal Liquidation with Signals: the General Propagator Case
We consider a class of optimal liquidation problems where the agent's transactions create transient price impact driven by a Volterra-type propagator along with temporary price impact.
Fast and Slow Optimal Trading with Exogenous Information
We first derive the optimal strategy of the high-frequency trader given any admissible strategy of the institutional investor.
Closed-Loop Nash Competition for Liquidity
We study a multi-player stochastic differential game, where agents interact through their joint price impact on an asset that they trade to exploit a common trading signal.
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.
Phase Transitions in Kyle's Model with Market Maker Profit Incentives
In addition to the classical framework, a revenue term is added to the market maker's performance function, which is proportional to the order flow and to the size of the bid-ask spread.
Price Impact on Term Structure
We introduce a first theory of price impact in presence of an interest-rates term structure.
A central bank strategy for defending a currency peg
We model this situation through a continuous-time market impact model of Almgren--Chriss-type with drift, in which the exchange rate is a diffusion process controlled by the price impact of the central bank's intervention strategy.
Evidence of Crowding on Russell 3000 Reconstitution Events
We develop a methodology which replicates in great accuracy the FTSE Russell indexes reconstitutions, including the quarterly rebalancings due to new initial public offerings (IPOs).
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.
