10 citations · 33 across the 20 of their papers we have counts for
4 papers · 1 filter
The Effective Radius of Self Repelling Elastic Manifolds
Carl Mueller, Eyal Neuman
We study elastic manifolds with self-repelling terms and estimate their effective radius. This class of manifolds is modelled by a self-repelling vector-valued Gaussian free field…
Closed-Loop Nash Competition for Liquidity
Alessandro Micheli, Johannes Muhle-Karbe, Eyal Neuman
We study a multi-player stochastic differential game, where agents interact through their joint price impact on an asset that they trade to exploit a common trading signal. In this…
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…