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q-fin.MF2018★ 1 cited
Optimal Investment, Demand and Arbitrage under Price Impact
Michail Anthropelos, Scott Robertson, Konstantinos Spiliopoulos
This paper studies the optimal investment problem with random endowment in an inventory-based price impact model with competitive market makers. Our goal is to analyze how price im…
econ.GN2018
Price Impact Under Heterogeneous Beliefs and Restricted Participation
Michail Anthropelos, Constantinos Kardaras
We consider a financial market in which traders potentially face restrictions in trading some of the available securities. Traders are heterogeneous with respect to their beliefs a…