1 citations · 1 across the 1 of their papers we have counts for
2 papers
q-fin.TR2022★ 1 cited
Transient impact from the Nash equilibrium of a permanent market impact game
Francesco Cordoni, Fabrizio Lillo
A large body of empirical literature has shown that market impact of financial prices is transient. However, from a theoretical standpoint, the origin of this temporary nature is s…
q-fin.TR2020
Instabilities in Multi-Asset and Multi-Agent Market Impact Games
Francesco Cordoni, Fabrizio Lillo
We consider the general problem of a set of agents trading a portfolio of assets in the presence of transient price impact and additional quadratic transaction costs and we study,…