1 citations · 1 across the 10 of their papers we have counts for
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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…