Control-Stopping Games for Market Microstructure and Beyond
نویسندگان
چکیده
منابع مشابه
Randomized stopping games and Markov market games
We study nonzero-sum stopping games with randomized stopping strategies. The existence of Nash equilibrium and ε-equilibrium strategies are discussed under various assumptions on players random payoffs and utility functions dependent on the observed discrete time Markov process. Then we will present a model of a market game in which randomized stopping times are involved. The model is a mixture...
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We develop a martingale approach for studying continuous-time stochastic differential games of control and stopping, in a non-Markovian framework and with the control affecting only the drift term of the state-process. Under appropriate conditions, we show that the game has a value and construct a saddle pair of optimal control and stopping strategies. Crucial in this construction is a characte...
متن کاملMarket Microstructure
• Amihud, Mendelson and Murgia (1990) studied the impact of the stock market microstructure on return volatility and on the value discovery process in the Milan Stock Exchange; the primary trading mechanism employed by this exchange is a call market, which is usually preceded and followed by trading in a continuous market. They found that the opening transaction in the continuous market had the...
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We survey recent results on the existence of the value in zerosum stopping games with discrete and continuous time, and on the existence of ε-equilibria in non zero-sum games with discrete time. ∗Department of Managerial Economics and Decision Sciences, Kellogg Graduate School of Management, Northwestern University, and the School of Mathematical Sciences, Tel Aviv University, Tel Aviv 69978, I...
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ژورنال
عنوان ژورنال: Mathematics of Operations Research
سال: 2020
ISSN: 0364-765X,1526-5471
DOI: 10.1287/moor.2019.1033