# A hot-potato game under transient price impact and some effects of a transaction tax

@article{Schied2013AHG, title={A hot-potato game under transient price impact and some effects of a transaction tax}, author={A. Schied and Tao Zhang}, journal={arXiv: Trading and Market Microstructure}, year={2013} }

Building on observations by Sch\"oneborn (2008), we consider a Nash equilibrium between two high-frequency traders in a simple market impact model with transient price impact and additional quadratic transaction costs. We show that for small transaction costs the high-frequency traders engage in a "hot-potato game", in which the same asset position is sold back and forth. We then identify a critical value for the size of the transaction costs above which all oscillations disappear and… Expand

#### 8 Citations

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A model for linear transient price impact for multiple assets that takes cross-asset impact into account and single out properties that need to be imposed on the decay kernel so that the model admits well-behaved optimal trade execution strategies. Expand

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Dans cette these, nous considerons deux types d'application des effets de retroaction en finance. Ces effets entrent en jeu quand des participants de marche executent des sequences de transactions ou… Expand

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This paper is a continuation of Ishitani and Kato (2015), in which we derived a continuous-time value function corresponding to an optimal execution problem with uncertain market impact as the limit… Expand

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