7 papers
Optimal Liquidation of Perpetual Contracts
Ryan Donnelly, Junhan Lin, Matthew Lorig
An agent holds a position in a perpetual contract with payoff function and attempts to liquidate the position while managing transaction costs, inventory risk, and funding rate…
Liquidity Competition Between Brokers and an Informed Trader
Ryan Donnelly, Zi Li
We study a multi-agent setting in which brokers transact with an informed trader. Through a sequential Stackelberg-type game, brokers manage trading costs and adverse selection wit…
Exploratory Control with Tsallis Entropy for Latent Factor Models
Ryan Donnelly, Sebastian Jaimungal
We study optimal control in models with latent factors where the agent controls the distribution over actions, rather than actions themselves, in both discrete and continuous time.…
Dynamic Inventory Management with Mean-Field Competition
Ryan Donnelly, Zi Li
Agents attempt to maximize expected profits earned by selling multiple units of a perishable product where their revenue streams are affected by the prices they quote as well as th…
Insider Trading with Temporary Price Impact
Weston Barger, Ryan Donnelly
We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with…
Optimal Trading with Differing Trade Signals
Ryan Donnelly, Matthew Lorig
We consider the problem of maximizing portfolio value when an agent has a subjective view on asset value which differs from the traded market price. The agent's trades will have a…