High-Frequency Limit of Nash Equilibria in a Market Impact Game with Transient Price Impact (Q4607045): Difference between revisions

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+Dynamic optimal execution in a mixed-market-impact Hawkes price model
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+Optimal execution strategies in limit order books with general shape functions
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+Discrete Bidding Strategies for a Random Incoming Order
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+A fully consistent, minimal model for non-linear market impact
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+No-dynamic-arbitrage and market impact
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+TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS
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+Endogenous Formation of Limit Order Books: Dynamics Between Trades
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+Matrix Analysis
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+Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis
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+Drift dependence of optimal trade execution strategies under transient price impact
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+Optimal Execution in a General One-Sided Limit-Order Book
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+A Market Impact Game Under Transient Price Impact
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+A STATE‐CONSTRAINED DIFFERENTIAL GAME ARISING IN OPTIMAL PORTFOLIO LIQUIDATION
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+Inversion of a tridiagonal Jacobi matrix
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+Inversion of Jacobi's tridiagonal matrix
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