10 citations · 33 across the 20 of their papers we have counts for
10 papers · 1 filter
Optimal Liquidation with Signals: the General Propagator Case
Eduardo Abi Jaber, Eyal Neuman
We consider a class of optimal liquidation problems where the agent's transactions create transient price impact driven by a Volterra-type propagator along with temporary price imp…
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…
Trading with the Crowd
Eyal Neuman, Moritz Voß
We formulate and solve a multi-player stochastic differential game between financial agents who seek to cost-efficiently liquidate their position in a risky asset in the presence o…
Phase Transitions in Kyle's Model with Market Maker Profit Incentives
Charles-Albert Lehalle, Eyal Neuman, Segev Shlomov
We consider a stochastic game between three types of players: an inside trader, noise traders and a market maker. In a similar fashion to Kyle's model, we assume that the insider f…
Price Impact on Term Structure
Damiano Brigo, Federico Graceffa, Eyal Neuman
We introduce a first theory of price impact in presence of an interest-rates term structure. We explain how one can formulate instantaneous and transient price impact on bonds with…
A central bank strategy for defending a currency peg
Eyal Neuman, Alexander Schied, Chengguo Weng +1
We consider a central bank strategy for maintaining a two-sided currency target zone, in which an exchange rate of two currencies is forced to stay between two thresholds. To keep…