38 citations · 44 across the 17 of their papers we have counts for
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q-fin.MF2017
Control-stopping Games for Market Microstructure and Beyond
Roman Gayduk, Sergey Nadtochiy
In this paper, we present a family of a control-stopping games which arise naturally in equilibrium-based models of market microstructure, as well as in other models with strategic…
math.PR2017
Particle systems with singular interaction through hitting times: application in systemic risk modeling
Sergey Nadtochiy, Mykhaylo Shkolnikov
We propose an interacting particle system to model the evolution of a system of banks with mutual exposures. In this model, a bank defaults when its normalized asset value hits a l…