Discrete bidding strategies for a random incoming order

DOI10.1137/130917685MaRDI QIDQ2940752zbMATHOpenAlexWikidataFDO

Authors Alberto Bressan, Giancarlo Facchi

Publication date 20 January 2015

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/130917685

zbMATH Keywords

limit order bookNash equilibriumoptimality conditionsbidding gameoptimal pricing strategymeasure-valued optimizationrandom incoming order

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Existence theories for optimal control problems involving relations other than differential equations (49J21) Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving relations other than differential equations (49K21) Optimality conditions for problems involving randomness (49K45) (n)-person games, (n>2) (91A06) Games with infinitely many players (91A07) Applications of operator theory in systems, signals, circuits, and control theory (47N70) Probabilistic games; gambling (91A60)

Recommendations

• A bidding game with heterogeneous players
• Dynamic stability of the Nash equilibrium for a bidding game
• A bidding game in a continuum limit order book
• Bidding games with several risky assets
• A dynamic model of the limit order book

Cited in

(7)

• Order books, markets and convex analysis
• A bidding game with heterogeneous players
• Strategic liquidity provision in limit order markets
• A bidding game in a continuum limit order book
• A dynamic model of the limit order book
• Dynamic stability of the Nash equilibrium for a bidding game
• High-frequency limit of Nash equilibria in a market impact game with transient price impact

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