Zobrazeno 1 - 10
of 35 608
pro vyhledávání: '"price-impact"'
Autor:
Sato, Yuki, Kanazawa, Kiyoshi
Universal power laws have been scrutinised in physics and beyond, and a long-standing debate exists in econophysics regarding the strict universality of the nonlinear price impact, commonly referred to as the square-root law (SRL). The SRL posits tha
Externí odkaz:
http://arxiv.org/abs/2411.13965
We study the price impact of storage facilities in electricity markets and analyze the long-term profitability of these facilities in prospective scenarios of energy transition. To this end, we begin by characterizing the optimal operating strategy f
Externí odkaz:
http://arxiv.org/abs/2410.12495
We consider an Ito-financial market at which the risky assets' returns are derived endogenously through a market-clearing condition amongst heterogeneous risk-averse investors with quadratic preferences and random endowments. Investors act strategica
Externí odkaz:
http://arxiv.org/abs/2405.14418
In this paper we solve the general problem, already formulated in Awerkin and Vargiolu (Decis. Econ. Finance 44(2), 2021) of finding a Nash equilibrium between two agents who can install irreversibly photovoltaic panels in order to maximize their pro
Externí odkaz:
http://arxiv.org/abs/2407.00666
Akademický článek
Tento výsledek nelze pro nepřihlášené uživatele zobrazit.
K zobrazení výsledku je třeba se přihlásit.
K zobrazení výsledku je třeba se přihlásit.
Autor:
Di Giacinto, Marina1 (AUTHOR) digiacinto@unicas.it, Tebaldi, Claudio2 (AUTHOR), Wang, Tai-Ho3,4 (AUTHOR)
Publikováno v:
Annals of Operations Research. May2024, Vol. 336 Issue 1/2, p605-636. 32p.
Autor:
Dolinsky, Yan, Greenstein, Doron
In this note we consider the maximization of the expected terminal wealth for the setup of quadratic transaction costs. First, we provide a very simple probabilistic solution to the problem. Although the problem was largely studied, as far as we know
Externí odkaz:
http://arxiv.org/abs/2402.14100
Akademický článek
Tento výsledek nelze pro nepřihlášené uživatele zobrazit.
K zobrazení výsledku je třeba se přihlásit.
K zobrazení výsledku je třeba se přihlásit.
Autor:
Diana, Derick, Gebbie, Tim
Publikováno v:
Journal of Computational and Applied Mathematics (2024)
We extend a Discrete Time Random Walk (DTRW) numerical scheme to simulate the anomalous diffusion of financial market orders in a simulated order book. Here using random walks with Sibuya waiting times to include a time-dependent stochastic forcing f
Externí odkaz:
http://arxiv.org/abs/2310.06079