Randomization in optimal execution games

DOI10.1137/25M1741108MaRDI QIDQ7389898zbMATH OpenFDO

Authors Steven W. Campbell, Marcel Nutz

Publication date 2026

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

Full work available at URL https://doi.org/10.1137/25M1741108

Mathematics Subject Classification ID

(n)-person games, (n>2) (91A06) Financial markets (91G15)

Cites work

• A generalized Jensen's inequality
• A market impact game under transient price impact
• Algorithmic and high-frequency trading
• Dynamic portfolio choice with frictions
• Handbook of Price Impact Modeling
• High-frequency limit of Nash equilibria in a market impact game with transient price impact
• scientific article; zbMATH DE number 3778410 (Why is no real title available?)
• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• Mean-field games with differing beliefs for algorithmic trading
• No-dynamic-arbitrage and market impact
• Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
• Optimal trade execution with instantaneous price impact and stochastic resilience
• Order book resilience, price manipulation, and the positive portfolio problem
• Portfolio liquidation games with self‐exciting order flow
• Trading with the crowd
• Transient linear price impact and Fredholm integral equations

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