Some mathematical aspects of market impact modeling

DOI10.4171/072-1/8MaRDI QIDQ3099673zbMATH OpenOpenAlexFDO

Authors Alexander Schied, Alla Slynko

Publication date 1 December 2011

Published in EMS Series of Congress Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4171/072-1/8

Mathematics Subject Classification ID

Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Auctions, bargaining, bidding and selling, and other market models (91B26) Portfolio theory (91G10) Financial applications of other theories (91G80) Linear systems in control theory (93C05) Nonlinear systems in control theory (93C10)

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• A limit order book model for latency arbitrage
• An optimal trading problem in intraday electricity markets
• Apparent impact: the hidden cost of one-shot trades
• Order book resilience, price manipulation, and the positive portfolio problem
• Dual representations for general multiple stopping problems
• Applications of microscopic modelling in finance
• Handbook of Price Impact Modeling
• Transient impact from the Nash equilibrium of a permanent market impact game
• Estimates of the horizon in mathematical models of marketing

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