74 citations · 184 across the 30 of their papers we have counts for
10 papers · 1 filter
A central bank strategy for defending a currency peg
Eyal Neuman, Alexander Schied, Chengguo Weng +1
We consider a central bank strategy for maintaining a two-sided currency target zone, in which an exchange rate of two currencies is forced to stay between two thresholds. To keep…
An FBSDE approach to market impact games with stochastic parameters
Samuel Drapeau, Peng Luo, Alexander Schied +1
We analyze a market impact game between risk averse agents who compete for liquidity in a market impact model with permanent price impact and additional slippage. Most market p…
Nash equilibrium for risk-averse investors in a market impact game with transient price impact
Xiangge Luo, Alexander Schied
We consider a market impact game for risk-averse agents that are competing in a market model with linear transient price impact and additional transaction costs. For both finit…
High-frequency limit of Nash equilibria in a market impact game with transient price impact
Alexander Schied, Elias Strehle, Tao Zhang
We study the high-frequency limits of strategies and costs in a Nash equilibrium for two agents that are competing to minimize liquidation costs in a discrete-time market impact mo…
Multivariate transient price impact and matrix-valued positive definite functions
Aurélien Alfonsi, Alexander Schied, Florian Klöck
We consider a model for linear transient price impact for multiple assets that takes cross-asset impact into account. Our main goal is to single out properties that need to be impo…
A market impact game under transient price impact
Alexander Schied, Tao Zhang
We consider a Nash equilibrium between two high-frequency traders in a simple market impact model with transient price impact and additional quadratic transaction costs. Extending…
Price manipulation in a market impact model with dark pool
Florian Klöck, Alexander Schied, Yuemeng Sun
For a market impact model, price manipulation and related notions play a role that is similar to the role of arbitrage in a derivatives pricing model. Here, we give a systematic in…
Robust Strategies for Optimal Order Execution in the Almgren-Chriss Framework
Alexander Schied
Assuming geometric Brownian motion as unaffected price process , Gatheral & Schied (2011) derived a strategy for optimal order execution that reacts in a sensible manner on ma…
Drift dependence of optimal trade execution strategies under transient price impact
Christopher Lorenz, Alexander Schied
We give a complete solution to the problem of minimizing the expected liquidity costs in presence of a general drift when the underlying market impact model has linear transient pr…
Optimal execution strategies in limit order books with general shape functions
Aurélien Alfonsi, Antje Fruth, Alexander Schied
We consider optimal execution strategies for block market orders placed in a limit order book (LOB). We build on the resilience model proposed by Obizhaeva and Wang (2005) but allo…