英文标题：
《Nash equilibrium for risk-averse investors in a market impact game with
transient price impact》
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作者：
Xiangge Luo and Alexander Schied
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最新提交年份：
2019
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英文摘要：
We consider a market impact game for $n$ risk-averse agents that are competing in a market model with linear transient price impact and additional transaction costs. For both finite and infinite time horizons, the agents aim to minimize a mean-variance functional of their costs or to maximize the expected exponential utility of their revenues. We give explicit representations for corresponding Nash equilibria and prove uniqueness in the case of mean-variance optimization. A qualitative analysis of these Nash equilibria is conducted by means of numerical analysis.
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中文摘要：
我们考虑了在具有线性瞬时价格影响和额外交易成本的市场模型中竞争的n$风险厌恶代理的市场影响博弈。对于有限和无限时间范围，代理的目标是最小化其成本的均值-方差函数，或最大化其收入的预期指数效用。我们给出了相应纳什均衡的显式表示，并证明了均值-方差优化情况下的唯一性。通过数值分析对这些纳什均衡进行了定性分析。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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