{"paper":{"title":"High-frequency limit of Nash equilibria in a market impact game with transient price impact","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.MF"],"primary_cat":"q-fin.TR","authors_text":"Alexander Schied, Elias Strehle, Tao Zhang","submitted_at":"2015-09-28T11:45:35Z","abstract_excerpt":"We study the high-frequency limits of strategies and costs in a Nash equilibrium for two agents that are competing to minimize liquidation costs in a discrete-time market impact model with exponentially decaying price impact and quadratic transaction costs of size $\\theta\\ge0$. We show that, for $\\theta=0$, equilibrium strategies and costs will oscillate indefinitely between two accumulation points. For $\\theta>0$, however, strategies, costs, and total transaction costs will converge towards limits that are independent of $\\theta$. We then show that the limiting strategies form a Nash equilibr"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1509.08281","kind":"arxiv","version":5},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}