大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,Osaka University

Executions in competition under Erlang kernel

Tai-Ho Wang (Baruch College, The City University of New York)

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大阪大学 数理・データ科学セミナー 金融・保険セミナーシリーズ 第147回

Executions in competition under Erlang kernel

Tai-Ho Wang (Baruch College, The City University of New York)

We consider the problem of multiple order executions in competition as differential games and investigate their associated equilibria in two regimes: Stackelberg and Nash games. Price impact during execution comprises of the components of permanent, transient with delay kernel of Erlang type, and temporary or slippage impacts. The Erlang type kernel provides the flexibility of specifying a maximal impact from the lagged past tradings as opposed to sheer decaying kernels such as exponential or power law. The resulting price impact model remains Markovian in an extended, but finite dimensional, state space. Dynamic programming principle is thus applicable and equilibria in the two differential games are obtained subject to solving systems of Riccati equations. Numerical experiments are conducted for illustration of the theoretical results. The talk is based on a joint work with Michele Aleandri and Marina Di Giacinto.