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- W3123338145 abstract "Trading algorithms that execute large orders are susceptible to exploitation by order anticipation strategies. This paper studies the influence of order anticipation strategies in a multi-investor model of optimal execution under transient price impact. Existence and uniqueness of a Nash equilibrium is established under the assumption that trading incurs quadratic transaction costs. A closed-form representation of the Nash equilibrium is derived for exponential decay kernels. With this representation, it is shown that while order anticipation strategies raise the execution costs of a large order significantly, they typically do not cause price overshooting in the sense of Brunnermeier and Pedersen." @default.
- W3123338145 created "2021-02-01" @default.
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- W3123338145 date "2016-01-01" @default.
- W3123338145 modified "2023-09-27" @default.
- W3123338145 title "Optimal Execution in a Multiplayer Model of Transient Price Impact" @default.
- W3123338145 hasPublicationYear "2016" @default.
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