1 citations · 1 across the 10 of their papers we have counts for
10 papers
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…
Potential Games on Unimodular Random Graphs
Eyal Neuman, Sturmius Tuschmann
We study potential games on unimodular random graphs of bounded degree, where players interact through the underlying network. Using the unimodular measure, we define a well-posed…
Stochastic Games on Large Sparse Graphs
Eyal Neuman, Sturmius Tuschmann
We introduce a framework for stochastic games on large sparse graphs, covering continuous-time and discrete-time dynamic games as well as static games. Players are indexed by the v…
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…
Stochastic Graphon Games with Interventions
Eyal Neuman, Sturmius Tuschmann
We consider a class of targeted intervention problems in dynamic network and graphon games. First, we study a general dynamic network game in which players interact over a graph an…
Fredholm Approach to Nonlinear Propagator Models
Eduardo Abi Jaber, Alessandro Bondi, Nathan De Carvalho +2
We formulate and solve an optimal trading problem with alpha signals, where transactions induce a nonlinear transient price impact described by a general propagator model, includin…
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…
The Mercer-Young Theorem for Matrix-Valued Kernels on Separable Metric Spaces
Eyal Neuman, Sturmius Tuschmann
We generalize the characterization theorem going back to Mercer and Young, which states that a symmetric and continuous kernel is positive definite if and only if it is integrally…
Optimal Portfolio Choice with Cross-Impact Propagators
Eduardo Abi Jaber, Eyal Neuman, Sturmius Tuschmann
We consider a class of optimal portfolio choice problems in continuous time where the agent's transactions create both transient cross-impact driven by a matrix-valued Volterra pro…
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…