1 citations · 1 across the 1 of their papers we have counts for
2 papers
q-fin.TR2022★ 1 cited
Price formation in financial markets: a game-theoretic perspective
David Evangelista, Yuri Saporito, Yuri Thamsten
We propose two novel frameworks to study the price formation of an asset negotiated in an order book. Specifically, we develop a game-theoretic model in many-person games and mean-…
q-fin.MF2020
On finite population games of optimal trading
David Evangelista, Yuri Thamsten
We investigate stochastic differential games of optimal trading comprising a finite population. There are market frictions in the present framework, which take the form of stochast…