Related papers: Cross-impact and no-dynamic-arbitrage
Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution…
We study permissionless spot--perpetual basis trading in decentralized finance as a collateral control problem. The strategy holds spot inventory, hedges directional exposure with a short perpetual, and allocates capital between spot…
We present a perturbation theory of the market impact based on an extension of the framework proposed by [Loeper, 2018] -- originally based on [Liu and Yong, 2005] -- in which we consider only local linear market impact. We study the…
We develop a nonparametric, kernel-based joint estimator for conditional mean and covariance matrices in large and unbalanced panels. The estimator is supported by rigorous consistency results and finite-sample guarantees, ensuring its…
We study a multiplicative transient price impact model for an illiquid financial market, where trading causes price impact which is multiplicative in relation to the current price, transient over time with finite rate of resilience, and…
A well known result in stochastic analysis reads as follows: for an $\mathbb{R}$-valued super-martingale $X = (X_t)_{0\leq t \leq T}$ such that the terminal value $X_T$ is non-negative, we have that the entire process $X$ is non-negative.…
In this article we study a multi-asset version of the Merton investment and consumption problem with proportional transaction costs. In general it is difficult to make analytical progress towards a solution in such problems, but we…
We study the semiclassical limit and the adiabatic limit with a second-quantized two-mode model, which describes a many-boson interacting system. When its mean-field interaction is small, these two limits are commutable. However, when the…
In this article we consider the Merton problem in a market with a single risky asset and transaction costs. We give a complete solution of the problem up to the solution of a free-boundary problem for a first-order differential equation,…
The completeness of a bond market model with infinite number of sources of randomness on a finite time interval in the Heath-Jarrow-Morton framework is studied. It is proved that the market is not complete. A construction of a bounded…
For boundary-driven non-equilibrium Markov models of non-interacting particles in one dimension, either in continuous space with the Fokker-Planck dynamics involving an arbitrary force $F(x)$ and an arbitrary diffusion coefficient $D(x)$,…
We study the effect of drift in pure-jump transaction-level models for asset prices in continuous time, driven by point processes. The drift is as-sumed to arise from a nonzero mean in the efficient shock series. It follows that the drift…
We consider an infinite bi-material plane containing a semi-infinite crack situated on a soft imperfect interface. The crack is loaded by a general asymmetrical system of forces distributed along the crack faces. On the basis of the weight…
This paper studies the optimal investment problem with random endowment in an inventory-based price impact model with competitive market makers. Our goal is to analyze how price impact affects optimal policies, as well as both pricing rules…
There are many physical processes that have inherent discontinuities in their mathematical formulations. This paper is motivated by the specific case of collisions between two rigid or deformable bodies and the intrinsic nature of that…
This paper is a contribution to the Proceedings of the Workshop Complexity, Metastability and Nonextensivity held in Erice 20-26 July 2004, to be published by World Scientific. We propose a generalization to Merton's model for evaluating…
To understand the recently observed mysterious non-adiabatic energy transfer for hyperthermal H atom scattering from a semiconductor surface, Ge(111)c(2*8), we present a mixed quantum-classical non-adiabatic molecular dynamics model based…
By imposing twisted boundary conditions on quark fields it is possible to access components of momenta other than integer multiples of 2pi/L on a lattice with spatial volume L^3. We use Chiral Perturbation Theory to study finite-volume…
In the context of an incomplete market with a Brownian filtration and a fixed finite time horizon, this paper proves that for general dynamic convex risk measures, the buyer's and seller's risk indifference prices of a contingent claim are…
For a risk vector $V$, whose components are shared among agents by some random mechanism, we obtain asymptotic lower and upper bounds for the individual agents' exposure risk and the aggregated risk in the market. Risk is measured by…