1,720,966 research outputs found
Transient Impact from the Nash Equilibrium of a Permanent Market Impact Game
Full text linkA large body of empirical literature has shown that market impact of financial prices is transient. However, from a theoretical standpoint, the origin of this temporary nature is still unclear. We show that an implied transient impact arises from the Nash equilibrium between a directional trader and one arbitrageur in a market impact game with fixed and permanent impact. The implied impact is the one that can be empirically inferred from the directional trader's trading profile and price reaction to order flow. Specifically, we propose two approaches to derive the functional form of the decay kernel of the transient impact model, one of the most popular empirical models for transient impact, from the behavior of the directional trader at the Nash equilibrium. The first is based on the relationship between past order flow and future price change, while in the second we solve an inverse optimal execution problem. We show that in the first approach the implied kernel is unique, while in the second case infinite solutions exist and a linear kernel can always be inferred
Instabilities in multi-asset and multi-agent market impact games
Full text linkWe consider the general problem of a set of agents trading a portfolio of assets in the presence of transient price impact and additional quadratic transaction costs and we study, with analytical and numerical methods, the resulting Nash equilibria. Extending significantly the framework of Schied and Zhang (2019) and Luo and Schied (2020), who considered the single asset case, we prove the existence and uniqueness of the corresponding Nash equilibria for the related mean-variance optimization problem. We then focus our attention on the conditions on the model parameters making the trading profile of the agents at equilibrium, and as a consequence the price trajectory, wildly oscillating and the market unstable. While Schied and Zhang (2019) and Luo and Schied (2020) highlighted the importance of the value of transaction cost in determining the transition between a stable and an unstable phase, we show that also the scaling of market impact with the number of agents J and the number of assets M determines the asymptotic stability (in J and M) of markets
Optimal Control of the FitzHugh?Nagumo Stochastic Model with Nonlinear Diffusion
Full text linkWe consider the existence and first order conditions of optimality for a stochastic optimal control problem inspired by the celebrated FitzHugh-Nagumo model, with nonlinear diffusion term, perturbed by a linear multiplicative Brownian-type noise. The main novelty of the present paper relies on the application of the rescaling method which allows us to reduce the original problem to a random optimal one
Asymptotic Expansion for a Black–Scholes Model with Small Noise Stochastic Jump-Diffusion Interest Rate
No full textIn the present paper we study the asymptotic expansion for a Black–Scholes model with small noise stochastic jump-diffusion interest rate. In particular, we consider the case when the small perturbation is due to a general, but small, noise of Lévy type. Moreover, we provide explicit expressions for the involved expansion coefficients as well as accurate estimates on the remainders
Stochastic port--Hamiltonian systems
Full text linkIn the present work we formally extend the theory of port-Hamiltonian systems
to include random perturbations. In particular, suitably choosing the space of
flow and effort variables we will show how several elements coming from
possibly different physical domains can be interconnected in order to describe
a dynamic system perturbed by general continuous semimartingale. Relevant
enough, the noise does not enter into the system solely as an external random
perturbation, since each port is itself intrinsically stochastic. Coherently to
the classical deterministic setting, we will show how such an approach extends
existing literature of stochastic Hamiltonian systems on pseudo-Poisson and
pre-symplectic manifolds. Moreover, we will prove that a power-preserving
interconnection of stochastic port-Hamiltonian systems is a stochastic
port-Hamiltonian system as well
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Full text linkWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
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