We study price formation in intraday electricity markets in the presence of asymmetric
information and intermittent generation. We use stochastic control theory to identify optimal …

The Handbook of Price Impact Modeling provides practitioners and students with a
mathematical framework grounded in academic references to apply price impact models to …

We formulate and solve a multi‐player stochastic differential game between financial agents
who seek to cost‐efficiently liquidate their position in a risky asset in the presence of jointly …

Using a large database of 8 million institutional trades executed in the US equity market, we
establish a clear crossover between a linear market impact regime and a square-root regime …

This is an informal and sketchy review of five topical, somewhat unrelated subjects in
quantitative finance and econophysics:(i) models of price changes;(ii) linear correlations and …

Full article: The inelastic market hypothesis: a microstructural interpretation Skip to Main Content
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We present an empirical study of price reversion after the executed metaorders. We use a
dataset with more than 8 million metaorders executed by institutional investors in the US …

The use of reinforcement learning algorithms in financial trading is becoming increasingly
prevalent. However, the autonomous nature of these algorithms can lead to unexpected …

We investigate stochastic differential games of optimal trading comprising a finite population.
There are market frictions in the present framework, which take the form of stochastic …

This new edited volume consists of a collection of original articles written by leading
financial economists and industry experts in the area of machine learning for asset …