SSRN Author: Ryan Francis DonnellyRyan Francis Donnelly SSRN Content
https://privwww.ssrn.com/author=1773967
https://privwww.ssrn.com/rss/en-usTue, 13 Oct 2020 01:27:02 GMTeditor@ssrn.com (Editor)Tue, 13 Oct 2020 01:27:02 GMTwebmaster@ssrn.com (WebMaster)SSRN RSS Generator 1.0REVISION: Optimal Trading with Differing Trade SignalsWe consider the problem of maximizing portfolio value when an agent has a subjective view on asset value which differs from the traded market price. The agent's trades will have a price impact which affect the price at which the asset is traded. In addition to the agent's trades affecting the market price, the agent may change his view on the asset's value if its difference from the market price persists. We also consider a situation of several agents interacting and trading simultaneously when they have a subjective view on the asset value. Two cases of the subjective views of agents are considered, one in which they all share the same information, and one in which they all have an individual signal correlated with price innovations. To study the large agent problem we take a mean-field game approach which remains tractable. After classifying the mean-field equilibrium we compute the cross-sectional distribution of agents' inventories and the dependence of price distribution on the ...
https://privwww.ssrn.com/abstract=3634629
https://privwww.ssrn.com/1950031.htmlMon, 12 Oct 2020 09:28:01 GMTNew: Insider Trading with Temporary Price ImpactWe model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model, equilibrium is characterized by the unique root of a particular polynomial. Analysis of this polynomial with small levels of risk-aversion and transaction costs reveal a dimensionless parameter which captures several orders of asymptotic accuracy of the equilibrium behaviour. In a continuous time analogue of the single auction model, incorporation of a transaction costs allows the informed agent's optimal trading strategy to be obtained in feedback form. Linear equilibrium is characterized by the unique solution to a system of two ordinary differential equations, of which one is forward in time and one is backward. When transaction costs are in effect, the price set by the market maker in equilibrium is not fully revealing of the informed agent's ...
https://privwww.ssrn.com/abstract=3662341
https://privwww.ssrn.com/1938709.htmlSat, 05 Sep 2020 13:52:51 GMTREVISION: Optimal Trading with Differing Trade SignalsWe consider the problem of maximizing portfolio value when an agent has a subjective view on asset value which differs from the traded market price. The agent's trades will have a price impact which affect the price at which the asset is traded. In addition to the agent's trades affecting the market price, the agent may change his view on the asset's value if its difference from the market price persists. We also consider a situation of several agents interacting and trading simultaneously when they have a subjective view on the asset value. Two cases of the subjective views of agents are considered, one in which they all share the same information, and one in which they all have an individual signal correlated with price innovations. To study the large agent problem we take a mean-field game approach which remains tractable. After classifying the mean-field equilibrium we compute the cross-sectional distribution of agents' inventories and the dependence of price distribution on the ...
https://privwww.ssrn.com/abstract=3634629
https://privwww.ssrn.com/1921920.htmlThu, 16 Jul 2020 16:09:04 GMTREVISION: Hedging Non-Tradable Risks with Transaction Costs and Price ImpactA risk-averse agent hedges her exposure to a non-tradable risk factor U using a correlated traded asset S and accounts for the impact of her trades on both factors. The effect of the agent's trades on U is referred to as cross-impact. By solving the agent's stochastic control problem, we obtain a closed-form expression for the optimal strategy when the agent holds a linear position in U. When the exposure to the non-tradable risk factor is non-linear, we provide an approximation to the optimal strategy in closed-form, and prove that the value function is correctly approximated by this strategy when cross-impact and risk-aversion are small. We further prove that when exposure to U is non-linear, the approximate optimal strategy can be written in terms of the optimal strategy for a linear exposure with the size of the position changing dynamically according to the exposure's "Delta" under a particular probability measure.
https://privwww.ssrn.com/abstract=3158727
https://privwww.ssrn.com/1867092.htmlSat, 15 Feb 2020 06:04:17 GMTREVISION: Effort Expenditure for Cash Flow in a Mean-Field EquilibriumWe study a mean-field game framework in which agents expend costly efforts in order to transition into a state where they receive cash flows. As more agents transition into the cash flow receiving state, the magnitude of all remaining cash flows decreases, introducing an element of competition whereby agents are rewarded for transitioning earlier. An equilibrium is reached if the optimal expenditure of effort produces a transition intensity which is equal to the flow rate at which the continuous population enters the receiving state. We give closed-form expressions which yield equilibrium when the cash flow horizon is infinite or exponentially distributed. When the cash flow horizon is finite we implement an algorithm which yields equilibrium if it converges. We show that in some cases a higher cost of effort results in the agents placing greater value on the potential cash flows in equilibrium. We also present cases where algorithm fails to converge to an equilibrium.
https://privwww.ssrn.com/abstract=3235553
https://privwww.ssrn.com/1840791.htmlTue, 12 Nov 2019 08:42:29 GMT