2 papers
q-fin.TR2025
High-Frequency Analysis of a Trading Game with Transient Price Impact
Marcel Nutz, Alessandro Prosperi
We study the high-frequency limit of an -trader optimal execution game in discrete time. Traders face transient price impact of Obizhaeva--Wang type in addition to quadratic ins…
q-fin.MF2022
A partial stochastic equilibrium model and its limiting behaviour
Alessandro Prosperi
The existence of a (partial) market equilibrium price is proved in a complete, continuous time finite-agent market setting. The economic agents act as price takers in a fully compe…