流动性的闭环纳什竞争

IF 1.6 3区经济学 Q3 BUSINESS, FINANCE

Mathematical Finance Pub Date : 2023-07-10 DOI:10.1111/mafi.12409

Alessandro Micheli, Johannes Muhle-Karbe, Eyal Neuman

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引用次数: 7

摘要

我们研究了一个多人随机微分游戏，其中代理人通过对他们交易的资产的联合价格影响进行互动，以利用共同的交易信号。在此背景下，我们证明了如果价格影响参数足够小，则存在闭环纳什均衡。与相应的开环纳什均衡相比，代理的最优交易率及其性能都朝着中心规划解决方案发展，因为缺乏协调导致的过度交易减少了。然而，对于合理的参数值，这种影响的大小是适度的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

Closed-loop Nash competition for liquidity

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Closed-loop Nash competition for liquidity

We study a multiplayer stochastic differential game, where agents interact through their joint price impact on an asset that they trade to exploit a common trading signal. In this context, we prove that a closed-loop Nash equilibrium exists if the price impact parameter is small enough. Compared to the corresponding open-loop Nash equilibrium, both the agents' optimal trading rates and their performance move towards the central-planner solution, in that excessive trading due to lack of coordination is reduced. However, the size of this effect is modest for plausible parameter values.

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来源期刊

Mathematical Finance 数学-数学跨学科应用

CiteScore

4.10

自引率

6.20%

发文量

审稿时长

>12 weeks

期刊介绍： Mathematical Finance seeks to publish original research articles focused on the development and application of novel mathematical and statistical methods for the analysis of financial problems. The journal welcomes contributions on new statistical methods for the analysis of financial problems. Empirical results will be appropriate to the extent that they illustrate a statistical technique, validate a model or provide insight into a financial problem. Papers whose main contribution rests on empirical results derived with standard approaches will not be considered.