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High-Frequency Limit of Nash Equilibria in a Market Impact Game with Transient Price Impact.
Alexander Schied
Elias Strehle
Tao Zhang
Published in:
SIAM J. Financial Math. (2017)
Keyphrases
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high frequency
nash equilibria
low frequency
nash equilibrium
game theory
incomplete information
fictitious play
stochastic games
game theoretic
high frequency components
wavelet coefficients
pure strategy
machine learning
subband
optimal solution
multiscale
high quality