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of 115
pro vyhledávání: '"Çetin, Umut"'
Autor:
Çetin, Umut
Kyle model in continuous time where the insider may be subject to legal penalties is considered. In equilibrium the insider internalises this legal risk by trading less aggressively. The equilibrium is characterised via the solution of a backward sto
Externí odkaz:
http://arxiv.org/abs/2311.12743
Autor:
Cetin, Umut, Larsen, Kasper
In the dynamic discrete-time trading setting of Kyle (1985), we prove that Kyle's equilibrium model is stable when there are one or two trading times. For three or more trading times, we prove that Kyle's equilibrium is not stable. These theoretical
Externí odkaz:
http://arxiv.org/abs/2307.09392
Autor:
Çetin, Umut, Danilova, Alaina
We analyse two models of liquidity provision to determine the retail traders' preference for marketable order routing. Order internalization is captured by a model of market makers competing for the retail order flow in a Bertrand fashion. On the oth
Externí odkaz:
http://arxiv.org/abs/2212.07827
Autor:
Çetin, Umut
A Choquet-type integral representation result for non-negative subharmonic functions of a one-dimensional regular diffusion is established. The representation allows in particular an integral equation for strictly positive subharmonic functions that
Externí odkaz:
http://arxiv.org/abs/2209.01898
Autor:
Çetin, Umut, Hok, Julien
Let $X$ be a linear diffusion taking values in $(\ell,r)$ and consider the standard Euler scheme to compute an approximation to $\mathbb{E}[g(X_T)\mathbf{1}_{[T<\zeta]}]$ for a given function $g$ and a deterministic $T$, where $\zeta=\inf\{t\geq 0: X
Externí odkaz:
http://arxiv.org/abs/2107.03534
Autor:
Cetin, Umut, Larsen, Kasper
For a real-valued one dimensional diffusive strict local martingale,, we provide a set of smooth functions in which the Cauchy problem has a unique classical solution under a local H\"older condition. Under the weaker Engelbert-Schmidt conditions, we
Externí odkaz:
http://arxiv.org/abs/2007.15041
Autor:
Çetin, Umut, Waelbroeck, Henri
We propose a static equilibrium model for limit order book where profit-maximizing investors receive an information signal regarding the liquidation value of the asset and execute via a competitive dealer with random initial inventory, who trades aga
Externí odkaz:
http://arxiv.org/abs/2003.04425
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