Showing q-fin.TRShow all
3 papers · 1 filter
q-fin.TR2025
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…
q-fin.TR2022
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…
q-fin.TR2020
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…