We consider an optimal liquidation model in which an investor is required to execute meta-orders during intraday trading periods, and his trading activity triggers child orders and endogenously affects future order flow, both instantaneously and permanently. Under the assumptions of risk...

We consider a financial market model with interacting agents and study the long run behaviour of both aggregate behaviour and equilibrium prices. Investors are heterogeneous in their price expectations and they get stochastic signals about the mood of the market described by the empirical...

In this paper we consider the stochastic sequence {Pt}E N defined recursively by the linear relation Pt+1 = At Pt + Bt in a random environment which is described by the non-stationary process V = {(At, Bt) t E N.. We formulate sufficient conditions on v which ensure that the finite-dimensional...

We study the long run behaviour of interactive Markov chains on infinite product spaces. In view of microstructure models of financial markets, the interaction has both a local and a global component. The convergence of such Markov chains is analyzed on the microscopic level and on the...

We study the long run behaviour of interactive Markov chains on infinite product spaces. The behaviour at a single site is influenced by the local situation in some neighborhood and by a random signal about the average situation throughout the whole system. The asymptotic behaviour of such...

We consider a financial market model with a large number of interacting agents. Investors are heterogeneous in their expectations about the future evolution of an asset price process. Their current expectation is based on the previous states of their neighbors and on a random signal about the...

We give sufficient conditions for a non-zero sum discounted stochastic game with compact and convex action spaces and with norm-continuous transition probabilities, but with possibly unbounded state space to have a N ash equilibrium in homogeneous Markov strategies that depends in a Lipsehitz...

We consider the stochastic sequence {Yi}t E N defined recursively by the linear relation Yt+l = AtYt + Bt in a random environment. The environment is described by the stochastic process {(At, Bt ) }t E N and is under the simultaneous control of several agents playing a discounted stochastic...

We propose an equilibrium framework within which to price financial securities written on non- tradable underlyings such as temperature indices. We analyze a financial market with a finite set of agents whose preferences are described by a convex dynamic risk measure generated by the solution of...

We state conditions for existence and uniqueness of equilibria in evolutionary models with an infinity of locally and globally interacting agents. Agents face repeated discrete choice problems. Their utility depends on the actions of some designated neighbors and the average choice throughout...