Price impact in Nash equilibria

We study a multiplayer 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 price impact parameter is small enough. Compared to the corresponding open‐loop Nash equilibrium, both the agents' optimal trading rates and their performance move towards the central‐planner solution, in that excessive trading due to lack of coordination is reduced. However, the size of this effect is modest for plausible parameter values.

show abstract

Portfolio Choice In Dynamic Thin Markets: Merton Meets Cournot

Gupta,

Jacka

2023

SSRN Journal

View full text Add to dashboard Cite

scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.

Contact Info

customersupport@researchsolutions.com

10624 S. Eastern Ave., Ste. A-614

Henderson, NV 89052, USA

This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply.

Blog Terms and Conditions API Terms Privacy Policy Contact Cookie Preferences Do Not Sell or Share My Personal Information

Made with 💙 for researchers

Part of the Research Solutions Family.

Price impact in Nash equilibria

Cited by 3 publications

References 60 publications

Asset prices when large investors interact strategically

Asset prices when large investors interact strategically

Closed‐loop Nash competition for liquidity

Portfolio Choice In Dynamic Thin Markets: Merton Meets Cournot

Contact Info

Product

Resources

About