22 citations · 34 across the 3 of their papers we have counts for
3 papers
math.OC2017★ 1 cited
On the minimizers of energy forms with completely monotone kernel
Alexander Schied, Elias Strehle
Motivated by the problem of optimal portfolio liquidation under transient price impact, we study the minimization of energy functionals with completely monotone displacement kernel…
q-fin.TR2016★ 11 cited
Optimal Execution in a Multiplayer Model of Transient Price Impact
Elias Strehle
Trading algorithms that execute large orders are susceptible to exploitation by order anticipation strategies. This paper studies the influence of order anticipation strategies in…
q-fin.TR2015★ 22 cited
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…