Michael Tehranchi

University of Cambridge

Centre for Mathematical Sciences

Cambridge, CB3 0WB

United Kingdom

SCHOLARLY PAPERS

2

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684

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16

Scholarly Papers (2)

1.

Optimal Basket Liquidation for CARA Investors is Deterministic

Number of pages: 19 Posted: 06 Nov 2009 Last Revised: 24 Feb 2010
Alexander Schied, Torsten Schoeneborn and Michael Tehranchi
University of Mannheim, AHL (Man Investments) and University of Cambridge
Downloads 620 (41,151)
Citation 16

Abstract:

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Liquidity, illiquid markets, optimal liquidation strategies, dynamic trading strategies, algorithmic trading, utility maximization

2.

An Equilibrium Model of Market Efficiency with Bayesian Learning: Explicit Modes of Convergence to Rational Expectations Equilibrium in the Presence of Noise Traders

Number of pages: 16 Posted: 05 Jan 2015 Last Revised: 19 Feb 2015
Omri Ross, Stephen E. Satchell and Michael Tehranchi
University of Copenhagen, University of Cambridge - Faculty of Economics and Politics and University of Cambridge
Downloads 64 (339,043)

Abstract:

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Market efficiency, asymptotic rationality, Bayesian updating, mode of convergence