Discrete bidding strategies for a random incoming order

DOI10.1137/130917685zbMATH Open1344.49026OpenAlexW2033003968WikidataQ59263868 ScholiaQ59263868MaRDI QIDQ2940752FDOQ2940752

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

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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)

Cited In (4)

• Strategic liquidity provision in limit order markets
• A dynamic model of the limit order book
• A bidding game with heterogeneous players
• High-Frequency Limit of Nash Equilibria in a Market Impact Game with Transient Price Impact

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