8 papers
Randomization in Optimal Execution Games
Steven Campbell, Marcel Nutz
We study optimal execution in markets with transient price impact in a competitive setting with traders. Motivated by prior negative results on the existence of pure Nash equil…
Optimal Execution among Traders with Transient Price Impact
Steven Campbell, Marcel Nutz
We study -player optimal execution games in an Obizhaeva--Wang model of transient price impact. When the game is regularized by an instantaneous cost on the trading rate, a uniq…
Risk-Based Auto-Deleveraging
Steven Campbell, Natascha Hey, Ciamac C. Moallemi +1
Auto-deleveraging (ADL) mechanisms are a critical yet understudied component of risk management on cryptocurrency futures exchanges. When available margin and other loss-absorbing…
High-Frequency Analysis of a Trading Game with Transient Price Impact
Marcel Nutz, Alessandro Prosperi
We study the high-frequency limit of an -trader optimal execution game in discrete time. Traders face transient price impact of Obizhaeva--Wang type in addition to quadratic ins…
Unwinding Stochastic Order Flow: When to Warehouse Trades
Marcel Nutz, Kevin Webster, Long Zhao
We study how to unwind stochastic order flow with minimal transaction costs. Stochastic order flow arises, e.g., in the central risk book (CRB), a centralized trading desk that agg…
On the Martingale Schrödinger Bridge between Two Distributions
Marcel Nutz, Johannes Wiesel
We study a martingale Schrödinger bridge problem: given two probability distributions, find their martingale coupling with minimal relative entropy. Our main result provides SchrÅ