ORIE Colloquium: Alexander Schied (Waterloo) - A market impact game under transient price impact
Frank H. T. Rhodes Hall 253
A market impact game is concerned with a model for competing traders whose trading strategies can impact the prices of an asset. Knowledge of the strategies of competitors can then affect the strategic decisions of each trader. In this talk, we consider Nash equilibria between traders in a simple model with transient price impact and study a number of their qualitative features. For instance, we analyze whether adding transaction costs can have a stabilizing effect on the system and whether increasing the trading frequency will decrease equilibrium costs.
The talk is based on joint work with X. Luo, E. Strehle, and T. Zhang.
Alexander Schied is a professor in the Department of Statistics and Actuarial Science at the University of Waterloo. Formerly, he was a professor at the University of Mannheim and associate professor at TU Munich, Cornell, and TU Berlin. His research is in probability theory and stochastic analysis with applications to mathematical finance and economics. Recent research topics include risk measurement and risk management, modeling and optimization in finance and economics, robustness and model uncertainty, and issues arising from market microstructure and price impact. He is a co-editor for Finance & Stochastics and associate editor for several other journals, including Mathematical Finance and the SIAM Journal on Financial Mathematics.