3 papers
q-fin.TR2025
Nonparametric Estimation of Self- and Cross-Impact
Natascha Hey, Eyal Neuman, Sturmius Tuschmann
We introduce an offline nonparametric estimator for concave multi-asset propagator models based on a dataset of correlated price trajectories and metaorders. Compared to parametric…
math.OC2024
Stochastic Graphon Games with Memory
Eyal Neuman, Sturmius Tuschmann
We study finite-player dynamic stochastic games with heterogeneous interactions and non-Markovian linear-quadratic objective functionals. We derive the Nash equilibrium explicitly…
math.AT2022
Transversality and framed cobordism
Sturmius Tuschmann
René Thom's remarkable and far-reaching concept of transversality has found numerous powerful applications. Most importantly, it allowed Thom to develop cobordism theory, which led…