Price impact in Nash equilibria
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Publication:2697496
DOI10.1007/S00780-023-00499-WOpenAlexW4328129733MaRDI QIDQ2697496FDOQ2697496
Authors: Yanyan Li 
Publication date: 12 April 2023
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-023-00499-w
Recommendations
Financial markets (91G15) Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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Cited In (8)
- A simple microstructural explanation of the concavity of price impact
- A market game for assets and taxed investors.
- Nash equilibria for relative investors with (non)linear price impact
- High-frequency limit of Nash equilibria in a market impact game with transient price impact
- Closed‐loop Nash competition for liquidity
- Impact of two types of asymmetry on asset prices in delegated portfolio management
- Endogenous inverse demand functions
- Price impact under heterogeneous beliefs and restricted participation
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