Showing 2026Show all
2 papers · 1 filter
q-fin.TR2026
Optimal Execution with Passive Market Impact
Alexander Barzykin, Robert Boyce, Eyal Neuman +1
We derive a mesoscopic model for optimal execution with limit orders that incorporates microstructural features of passive price impact. Our framework is based on two empirical obs…
q-fin.TR2026
Competition in Dealer Markets with Internalisation and Externalisation
Robert Boyce, Eyal Neuman
We model a market with multiple dealers who compete for client order flow by dynamically updating their bid and ask quotes for a risky asset. Dealers aim to maximise expected profi…