1 citations · 1 across the 1 of their papers we have counts for
3 papers
q-fin.TR2022★ 1 cited
Fast and Slow Optimal Trading with Exogenous Information
Rama Cont, Alessandro Micheli, Eyal Neuman
We consider a stochastic game between a slow institutional investor and a high-frequency trader who are trading a risky asset and their aggregated order-flow impacts the asset pric…
q-fin.MF2021
Closed-Loop Nash Competition for Liquidity
Alessandro Micheli, Johannes Muhle-Karbe, Eyal Neuman
We study a multi-player stochastic differential game, where agents interact through their joint price impact on an asset that they trade to exploit a common trading signal. In this…
q-fin.TR2020
Evidence of Crowding on Russell 3000 Reconstitution Events
Alessandro Micheli, Eyal Neuman
We develop a methodology which replicates in great accuracy the FTSE Russell indexes reconstitutions, including the quarterly rebalancings due to new initial public offerings (IPOs…