no code implementations • 8 Sep 2023 • Georg Menz, Moritz Voß
We present a formal framework for the aggregation of financial markets mediated by arbitrage.
1 code implementation • 18 Apr 2022 • Tao Chen, Mike Ludkovski, Moritz Voß
Precise calibration of price impact, resilience, etc., is known to be extremely challenging and hence it is critical to understand sensitivity of the execution policy to these parameters.
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 • 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.
no code implementations • 12 Nov 2019 • Moritz Voß
We study the competition of two strategic agents for liquidity in the benchmark portfolio tracking setup of Bank, Soner, Vo{\ss} (2017).