Optimal Execution for N Traders with Transient Price Impact
Speaker:
Marcel Nutz, Columbia University
Date and Time:
Friday, September 27, 2024 - 4:00pm to 5:00pm
Location:
Fields Institute, Room 230
Abstract:
We study an N-player game of optimal execution in the Obizhaeva—Wang model of transient price impact. A unique equilibrium exists when the problem is regularized by an additional instantaneous cost, but existence fails without regularization. We show how a modification of the model restores existence. The newly found equilibrium is consistent with the limit for small regularization, and has a simpler form. (Joint work with Steven Campbell.)