Fetching the paper…
Reading the bibliography…
We analyze a market impact game between $n$ risk averse agents who compete for liquidity in a market impact model with permanent price impact and additional slippage.
Adapted solution of a backward stochastic differential equation
E. Pardoux and S. G. Peng · 1990
Earlier work this paper cites.
Backward-forward stochastic differential equations
F. Antonelli · 1993
Earlier work this paper cites.
Fully coupled forward-backward stochastic differential equations and applications to optimal control
S. Peng and Z. Wu · 1999
Earlier work this paper cites.
S. T. Tse, P. A. Forsyth, J. S. Kennedy, and H. Windcliff · 2001
Earlier work this paper cites.
Optimal execution with nonlinear impact functions and trading-enhanced risk
R. Almgren · 2003
Earlier work this paper cites.
Direct estimation of equity market impact
R. Almgren, C. Thum, E. Hauptmann, and H. Li · 2005
Earlier work this paper cites.
Episodic liquidity crises: cooperative and predatory trading
B. I. Carlin, M. S. Lobo, and S. Viswanathan · 2007
Earlier work this paper cites.
Trade execution in illiquid markets. Optimal stochastic control and multi-agent equilibria
T. Schöneborn · 2008
Earlier work this paper cites.
Liquidation in the face of adversity: stealth vs. sunshine trading
T. Schöneborn and A. Schied · 2009
Cited alongside, same era.
No-dynamic-arbitrage and market impact
J. Gatheral · 2010
Cited alongside, same era.
Predatory trading: a game on volatility and liquidity
R. A. Carmona and J. Yang · 2011
Cited alongside, same era.
Optimal trading with stochastic liquidity and volatility
R. Almgren · 2012
Cited alongside, same era.
Optimal trade execution: a mean-quadratic-variation approach
P. Forsyth, J. Kennedy, T. S. Tse, and H. Windclif · 2012
Cited alongside, same era.
Strategic execution in the presence of an uninformed arbitrageur
C. C. Moallemi, B. Park, and B. Van Roy · 2012
Cited alongside, same era.
BSDEs with singular terminal condition and a control problem with constraints
S. Ankirchner, M. Jeanblanc, and T. Kruse · 2014
Later among the works it cites.
A non-Markovian liquidation problem and backward SPDEs with singular terminal conditions
P. Graewe, U. Horst, and J. Qiu · 2015
Later among the works it cites.
Optimal trade execution for time-inconsistent mean-variance criteria and risk functions
T. Schöneborn · 2015
Later among the works it cites.
High-frequency limit of Nash equilibria in a market impact game with transient price impact
A. Schied, E. Strehle, and T. Zhang · 2017
Later among the works it cites.
A state-constrained differential game arising in optimal portfolio liquidation
A. Schied and T. Zhang · 2017
Later among the works it cites.
Algorithmic trading with partial information: A mean field game approach
alphaXiv searches the wider corpus for related work and actual follow-ups.
alphaXiv is searching for related work…
Dynamical models of market impact and algorithms for order execution
J. Gatheral and A. Schied · 2013
Cited alongside, same era.
A control problem with fuel constraint and Dawson–Watanabe superprocesses
A. Schied · 2013
Cited alongside, same era.
Nash equilibrium for risk-averse investors in a market impact game: finite and infinite time horizons, in preparation
X. Luo and A. Schied
Cited in the paper.
P. Casgrain and S. Jaimungal · 2018
Later among the works it cites.
A market impact game under transient price impact
A. Schied and T. Zhang · 2019
Closest in time.