3 papers
q-fin.MF2026
Optimal Liquidation of Perpetual Contracts
Ryan Donnelly, Junhan Lin, Matthew Lorig
An agent holds a position in a perpetual contract with payoff function and attempts to liquidate the position while managing transaction costs, inventory risk, and funding rat…
q-fin.TR2025
Liquidity Competition Between Brokers and an Informed Trader
Ryan Donnelly, Zi Li
We study a multi-agent setting in which brokers transact with an informed trader. Through a sequential Stackelberg-type game, brokers manage trading costs and adverse selection wit…
q-fin.TR2025
Dynamic Inventory Management with Mean-Field Competition
Ryan Donnelly, Zi Li
Agents attempt to maximize expected profits earned by selling multiple units of a perishable product where their revenue streams are affected by the prices they quote as well as th…