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Optimal Execution among $N$ Traders with Transient Price Impact

q-fin.TR · 2025-01-16 · unverdicted · novelty 7.0

In the Obizhaeva-Wang transient-impact model, N-player execution games admit unique closed-form equilibria under instantaneous-cost regularization; equilibrium is restored exactly by a derived time-dependent block-trade cost that is the limit of regularized equilibria and does not vanish as the cost

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  • Optimal Execution among $N$ Traders with Transient Price Impact q-fin.TR · 2025-01-16 · unverdicted · none · ref 9

    In the Obizhaeva-Wang transient-impact model, N-player execution games admit unique closed-form equilibria under instantaneous-cost regularization; equilibrium is restored exactly by a derived time-dependent block-trade cost that is the limit of regularized equilibria and does not vanish as the cost