40 citations · 91 across the 18 of their papers we have counts for
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q-fin.MF2020
Endogenous inverse demand functions
Maxim Bichuch, Zachary Feinstein
In this work we present an equilibrium formulation for price impacts. This is motivated by the Buhlmann equilibrium in which assets are sold into a system of market participants, e…
eess.SY2020
On the Value of Energy Storage in Generation Cost Reduction
Yue Shen, Maxim Bichuch, Enrique Mallada
This work seeks to quantify the benefits of using energy storage toward the reduction of the energy generation cost of a power system. A two-fold optimization framework is provided…
q-fin.RM2020
A Repo Model of Fire Sales with VWAP and LOB Pricing Mechanisms
Maxim Bichuch, Zachary Feinstein
We consider a network of banks that optimally choose a strategy of asset liquidations and borrowing in order to cover short term obligations. The borrowing is done in the form of c…