High-Frequency Limit of Nash Equilibria in a Market Impact Game with Transient Price Impact

DOI10.1137/16M107030XzbMath1407.91234arXiv1509.08281OpenAlexW3101700033MaRDI QIDQ4607045

Elias Strehle, Tao Zhang, Alexander Schied

Publication date: 12 March 2018

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

Full work available at URL: https://arxiv.org/abs/1509.08281

zbMATH Keywords

Nash equilibriumtransaction coststransient price impacthigh-frequency limitmarket impact game

Mathematics Subject Classification ID

Noncooperative games (91A10) 2-person games (91A05) Discrete-time games (91A50) Financial applications of other theories (91G80) Dynamic games (91A25) Portfolio theory (91G10)

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