1 citations · 2 across the 6 of their papers we have counts for
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q-fin.MF2019
A two-player portfolio tracking game
Moritz Voß
We study the competition of two strategic agents for liquidity in the benchmark portfolio tracking setup of Bank, Soner, Voß (2017). Specifically, both agents track their own stoch…
q-fin.MF2018
Optimal investment with transient price impact
Peter Bank, Moritz Voß
We introduce a price impact model which accounts for finite market depth, tightness and resilience. Its coupled bid- and ask-price dynamics induce convex liquidity costs. We provid…
q-fin.MF2015
Hedging with Temporary Price Impact
Peter Bank, Mete Soner, Moritz Voß
We consider the problem of hedging a European contingent claim in a Bachelier model with transient price impact as proposed by Almgren and Chriss. Following the approach of Rogers…