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Nash Equilibrium for Risk-Averse Investors in a Market Impact Game with Transient Price Impact

Xiangge Luo & Alexander Schied

Market Microstructure and Liquidity2019https://doi.org/10.1142/s238262662050001xarticle
ABDC B
Weight
0.53

What the paper says

We consider a market impact game for [Formula: see text] risk-averse agents that are competing in a market model with linear transient price impact and additional transaction costs. For both finite and infinite time horizons, the agents aim to minimize a mean-variance functional of their costs or to maximize the expected exponential utility of their revenues. We give explicit representations for corresponding Nash equilibria and prove uniqueness in the case of mean-variance optimization. A qualitative analysis of these Nash equilibria is conducted by means of numerical analysis.

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https://doi.org/https://doi.org/10.1142/s238262662050001x

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@article{xiangge2019,
  title        = {{Nash Equilibrium for Risk-Averse Investors in a Market Impact Game with Transient Price Impact}},
  author       = {Xiangge Luo & Alexander Schied},
  journal      = {Market Microstructure and Liquidity},
  year         = {2019},
  doi          = {https://doi.org/https://doi.org/10.1142/s238262662050001x},
}

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Nash Equilibrium for Risk-Averse Investors in a Market Impact Game with Transient Price Impact

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Evidence weight

0.53

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.46 × 0.4 = 0.18
M · momentum0.80 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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