The Execution Game
نویسندگان
چکیده
We consider a trader who aims to liquidate a large position in the presence of anarbitrageur who hopes to profit from the trader’s activity. The arbitrageur is uncer-tain about the trader’s position and learns from observed price fluctuations. This isa dynamic game with asymmetric information. We present an algorithm for comput-ing perfect Bayesian equilibrium behavior and conduct numerical experiments. Ourresults demonstrate that the trader’s strategy differs significantly from one that wouldbe optimal in the absence of the arbitrageur. In particular, the trader must balancethe conflicting desires of minimizing price impact and minimizing information that issignaled through trading. Accounting for information signaling and the presence ofstrategic adversaries can greatly reduce execution costs.
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