2 papers
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…