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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

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2 results for “broker-trader”

Broker-Trader Partial Information Nash-Equilibriaq-fin.MF

Study Nash equilibrium between broker and informed trader in dealer and lit markets.

problem Nash equilibrium between broker and informed trader in dealer and lit markets with partial information.

method Convex analysis, FBSDEs, polynomial approximation.

result Existence and uniqueness of Nash equilibrium for short time horizons.

Nash equilibrium broker-trader partial information dealer market lit exchange

2024-12-23abs ↗pdf ↗

Nash Equilibrium between Brokers and Tradersq-fin.TR

Study Nash equilibrium between broker and trader in a lit exchange with price impact.

problem Optimizing trading strategies between informed and uninformed traders with broker's inventory penalties.

method Characterized Nash equilibrium through FBSDEs, solved explicitly.

result Explicit solution to trading strategies of broker and informed trader.

Nash equilibrium broker-trader lit exchange price impact FBSDEs

2024-07-15abs ↗pdf ↗