Some mathematical aspects of market impact modeling

DOI10.4171/072-1/8zbMATH Open1235.60084OpenAlexW4234241811MaRDI QIDQ3099673FDOQ3099673

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

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

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(10)

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• Transient impact from the Nash equilibrium of a permanent market impact game
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• Order book resilience, price manipulation, and the positive portfolio problem
• An optimal trading problem in intraday electricity markets
• Handbook of Price Impact Modeling
• A limit order book model for latency arbitrage
• Liquidity-adjusted risk measures
• Applications of microscopic modelling in finance
• Estimates of the horizon in mathematical models of marketing

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