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math.OC2020
Portfolio Liquidation Games with Self-Exciting Order Flow
Guanxing Fu, Ulrich Horst, Xiaonyu Xia
We analyze novel portfolio liquidation games with self-exciting order flow. Both the N-player game and the mean-field game are considered. We assume that players' trading activitie…
math.OC2018
Multi-dimensional Optimal Trade Execution under Stochastic Resilience
Ulrich Horst, Xiaonyu Xia
We study a multi-dimensional optimal execution problem in illiquid markets with both instantaneous and persistent price impact and stochastic resilience. In our model the value fun…