1 citations · 1 across the 2 of their papers we have counts for
3 papers
q-fin.MF2017
Control-stopping Games for Market Microstructure and Beyond
Roman Gayduk, Sergey Nadtochiy
In this paper, we present a family of a control-stopping games which arise naturally in equilibrium-based models of market microstructure, as well as in other models with strategic…
q-fin.TR2016★ 1 cited
Endogenous Formation of Limit Order Books: Dynamics Between Trades
Roman Gayduk, Sergey Nadtochiy
In this work, we present a continuous-time large-population game for modeling market microstructure betweentwo consecutive trades. The proposed modeling framework is inspired by ou…
q-fin.TR2015
Liquidity Effects of Trading Frequency
Roman Gayduk, Sergey Nadtochiy
In this article, we present a discrete time modeling framework, in which the shape and dynamics of a Limit Order Book (LOB) arise endogenously from an equilibrium between multiple…