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pro vyhledávání: '"Karbe A"'
Maglaras, Moallemi, and Zheng (2021) have introduced a flexible queueing model for fragmented limit-order markets, whose fluid limit remains remarkably tractable. In the present study we prove that, in the limit of small and frequent orders, the disc
Externí odkaz:
http://arxiv.org/abs/2407.04354
Autor:
Eisler, Zoltan, Muhle-Karbe, Johannes
Minimizing execution costs for large orders is a fundamental challenge in finance. Firms often depend on brokers to manage their trades due to limited internal resources for optimizing trading strategies. This paper presents a methodology for evaluat
Externí odkaz:
http://arxiv.org/abs/2405.18936
Autor:
Hey, Natascha, Bouchaud, Jean-Philippe, Mastromatteo, Iacopo, Muhle-Karbe, Johannes, Webster, Kevin
Portfolio managers' orders trade off return and trading cost predictions. Return predictions rely on alpha models, whereas price impact models quantify trading costs. This paper studies what happens when trades are based on an incorrect price impact
Externí odkaz:
http://arxiv.org/abs/2306.00599
Autor:
Löwe, Anika T., Touzo, Léo, Muhle-Karbe, Paul S., Saxe, Andrew M., Summerfield, Christopher, Schuck, Nicolas W.
Humans sometimes have an insight that leads to a sudden and drastic performance improvement on the task they are working on. Sudden strategy adaptations are often linked to insights, considered to be a unique aspect of human cognition tied to complex
Externí odkaz:
http://arxiv.org/abs/2302.11351
Autor:
Nielsen, Jörn, Görtz, Sarah, Aschermann, Ellen, Saliger, Jochen, Hennecken, Eva, Eschweiler, Mareike, Karbe, Hans, Kalbe, Elke, Folkerts, Ann-Kristin
Publikováno v:
In Multiple Sclerosis and Related Disorders November 2024 91
We study a multi-player stochastic differential game, where agents interact through their joint price impact on an asset that they trade to exploit a common trading signal. In this context, we prove that a closed-loop Nash equilibrium exists if the p
Externí odkaz:
http://arxiv.org/abs/2112.02961
We study one-shot Nash competition between an arbitrary number of identical dealers that compete for the order flow of a client. The client trades either because of proprietary information, exposure to idiosyncratic risk, or a mix of both trading mot
Externí odkaz:
http://arxiv.org/abs/2107.12094
Autor:
Florian Wolf, Jörn Nielsen, Jochen Saliger, Eva Hennecken, Philipp Kröber, Mareike Eschweiler, Ann-Kristin Folkerts, Hans Karbe, Philipp Zimmer
Publikováno v:
BMC Neurology, Vol 23, Iss 1, Pp 1-12 (2023)
Abstract Background Multimodal agility-based exercise training (MAT) is a group-based exercise training framework for persons with multiple sclerosis (pwMS) with a potential to impact fatigue and fatigability. In a mixed-methods design, this study ev
Externí odkaz:
https://doaj.org/article/817c4e8aaeb14c708cddb1dd13cc60ca
We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary number of risky assets subject to quadratic transaction costs. For linear state dynamics, the forward-backward stochastic differential equations char
Externí odkaz:
http://arxiv.org/abs/2011.13625
Autor:
Vossel, Simone a, b, ⁎, Käsbauer, Anne-Sophie a, Mengotti, Paola a, Schmidt, Claudia a, Saliger, Jochen c, Karbe, Hans c, Fink, Gereon R. a, d
Publikováno v:
In Cortex December 2024