output
20072026
most citedMarket impact and trading profile of large trading orders in stock markets

228 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

collaborating institutions
Showing 2012Show all

2 papers · 1 filter

q-fin.PM2012★ 1 cited

Impact of time illiquidity in a mixed market without full observation

Salvatore Federico, Paul Gassiat, Fausto Gozzi

We study a problem of optimal investment/consumption over an infinite horizon in a market consisting of two possibly correlated assets: one liquid and one illiquid. The liquid asse…

cs.GT2012★ 34 cited

A Colonel Blotto Gladiator Game

Yosef Rinott, Marco Scarsini, Yaming Yu

We consider a stochastic version of the well-known Blotto game, called the gladiator game. In this zero-sum allocation game two teams of gladiators engage in a sequence of one-to-o…