231 citations · 874 across the 46 of their papers we have counts for
6 papers · 1 filter
The Convergence Rate of Stochastic Tracking with Application to Optimal Execution
Marcel Nutz, Moritz Voss
We study the quadratic tracking problem of a general stochastic target process with absolutely continuous controls, with and without terminal constraint. We derive explicit, non-as…
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…
Optimal Fees for Liquidity Provision in Automated Market Makers
Steven Campbell, Philippe Bergault, Jason Milionis +1
Passive liquidity providers (LPs) in automated market makers (AMMs) face losses due to adverse selection (LVR), which static trading fees often fail to offset in practice. We study…
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…
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…