2 citations · 4 across the 5 of their papers we have counts for
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q-fin.TR2024★ 2 cited
Competitive equilibria in trading
Neil A. Chriss
This is the third paper in a series concerning the game-theoretic aspects of position-building while in competition. The first paper set forth foundations and laid out the essentia…
q-fin.TR2024★ 1 cited
Position-building in competition with real-world constraints
Neil A. Chriss
This paper extends the optimal-trading framework developed in arXiv:2409.03586v1 to compute optimal strategies with real-world constraints. The aim of the current paper, as with th…
q-fin.TR2024
Optimal position-building strategies in competition
Neil A. Chriss
This paper develops a mathematical framework for building a position in a stock over a fixed period of time while in competition with one or more other traders doing the same thing…