no code implementations • 15 Mar 2024 • Eduardo Abi Jaber, Eyal Neuman, Sturmius Tuschmann
We consider a class of optimal portfolio choice problems in continuous time where the agent's transactions create both transient cross-impact driven by a matrix-valued Volterra propagator, as well as temporary price impact.
no code implementations • 6 Sep 2023 • Eyal Neuman, Wolfgang Stockinger, Yufei Zhang
We show that a trader who tries to minimise her execution costs by using a greedy strategy purely based on the estimated propagator will encounter suboptimality due to so-called spurious correlation between the trading strategy and the estimator and due to intrinsic uncertainty resulting from a biased cost functional.
no code implementations • 12 Jan 2023 • Eyal Neuman, Yufei Zhang
For the exploration phase we propose a novel approach for non-parametric estimation of the price impact kernel by observing only the visible price process and derive sharp bounds on the convergence rate, which are characterised by the singularity of the propagator.
no code implementations • 1 Nov 2022 • Eduardo Abi Jaber, Eyal Neuman
We consider a class of optimal liquidation problems where the agent's transactions create transient price impact driven by a Volterra-type propagator along with temporary price impact.
no code implementations • 4 Oct 2022 • Rama Cont, Alessandro Micheli, Eyal Neuman
We first derive the optimal strategy of the high-frequency trader given any admissible strategy of the institutional investor.
no code implementations • 6 Dec 2021 • Alessandro Micheli, Johannes Muhle-Karbe, Eyal Neuman
We study a multi-player stochastic differential game, where agents interact through their joint price impact on an asset that they trade to exploit a common trading signal.
no code implementations • 17 Jun 2021 • Eyal Neuman, Moritz Voß
We formulate and solve a multi-player stochastic differential game between financial agents who seek to cost-efficiently liquidate their position in a risky asset in the presence of jointly aggregated transient price impact, along with taking into account a common general price predicting signal.
no code implementations • 7 Mar 2021 • Charles-Albert Lehalle, Eyal Neuman, Segev Shlomov
In addition to the classical framework, a revenue term is added to the market maker's performance function, which is proportional to the order flow and to the size of the bid-ask spread.
no code implementations • 19 Nov 2020 • Damiano Brigo, Federico Graceffa, Eyal Neuman
We introduce a first theory of price impact in presence of an interest-rates term structure.
no code implementations • 2 Aug 2020 • Eyal Neuman, Alexander Schied, Chengguo Weng, Xiaole Xue
We model this situation through a continuous-time market impact model of Almgren--Chriss-type with drift, in which the exchange rate is a diffusion process controlled by the price impact of the central bank's intervention strategy.
1 code implementation • 12 Jun 2020 • Alessandro Micheli, Eyal Neuman
We develop a methodology which replicates in great accuracy the FTSE Russell indexes reconstitutions, including the quarterly rebalancings due to new initial public offerings (IPOs).
no code implementations • 21 Feb 2020 • Eyal Neuman, Moritz Voß
We study optimal liquidation in the presence of linear temporary and transient price impact along with taking into account a general price predicting finite-variation signal.