Seminar 217, Risk Management: A two-player price impact game

Seminar 217, Risk Management: A two-player price impact game

Risk Seminar
Jan 28, 2020, 11:00 AM - 12:30 PM | 1011 Evans Hall | Happening As Scheduled
Moritz Voss, UCSB
ABSTRACT: We study the competition of two strategic agents for liquidity in the benchmark portfolio tracking setup of Bank, Soner, Voss (2017), both facing common aggregated temporary and permanent price impact à la Almgren and Chriss (2001). The resulting stochastic linear quadratic differential game with terminal state constraints allows for an explicitly available open-loop Nash...