10 citations · 33 across the 20 of their papers we have counts for
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q-fin.TR2022★ 2 cited
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…
q-fin.TR2022★ 1 cited
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…
math.PR2022
Self-Repelling Elastic Manifolds with Low Dimensional Range
Carl Mueller, Eyal Neuman
We consider self-repelling elastic manifolds with a domain , that take values in . Our main result states that when the dimension of the d…