A Stackelberg order execution game

DOI10.1007/S10479-022-05120-5MaRDI QIDQ6549606zbMATH OpenFDO

Authors Yinhong Dong, Donglei Du, Qiaoming Han, Jianfeng Ren, Dachuan Xu

Publication date 4 June 2024

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10479-022-05120-5

zbMATH Keywords

game theoryoptimal order executionprice of anarchyStackelberg game

Mathematics Subject Classification ID

Hierarchical games (including Stackelberg games) (91A65) Portfolio theory (91G10) Financial markets (91G15)

Recommendations

• Optimal and equilibrium execution strategies with generalized price impact
• Mean-Field Game Strategies for Optimal Execution
• Portfolio liquidation games with self‐exciting order flow
• Sequential fair Stackelberg equilibria of linear strategies in risk-seeking insider trading

Cites work

• A state-constrained differential game arising in optimal portfolio liquidation
• Adaptive execution: exploration and learning of price impact
• An explicit solution of a nonlinear-quadratic constrained stochastic control problem with jumps: optimal liquidation in dark pools with adverse selection
• Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis
• Fairness and efficiency in multiportfolio optimization
• High-frequency limit of Nash equilibria in a market impact game with transient price impact
• scientific article; zbMATH DE number 3206496 (Why is no real title available?)
• Lectures on BSDEs, stochastic control, and stochastic differential games with financial applications
• Market or limit orders?
• Modelling the shape of the limit order book
• Optimal basket liquidation for CARA investors is deterministic
• Optimal execution and price manipulations in time-varying limit order books
• Optimal execution strategies in limit order books with general shape functions
• Optimal liquidation under stochastic liquidity
• Optimal Portfolio Liquidation with Distress Risk
• Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions
• Optimal trade execution: a mean quadratic variation approach
• OR forum: The cost of latency in high-frequency trading
• The order book as a queueing system: average depth and influence of the size of limit orders
• Worst-case equilibria

Cited in

(2)

• When order execution meets informed trading
• Bounding the price of anarchy for mixed traffic equilibrium assignment with stochastic demands and road pricing

This page was built for publication: A Stackelberg order execution game

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6549606)