Eyal Neuman

Imperial College London - Department of Mathematics

South Kensington Campus

Imperial College

LONDON, SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

9

DOWNLOADS

1,154

SSRN CITATIONS

2

CROSSREF CITATIONS

2

Scholarly Papers (9)

1.

Optimal Liquidation with Signals: the General Propagator Case

Number of pages: 48 Posted: 15 Nov 2022
Eduardo Abi Jaber and Eyal Neuman
Ecole Polytechnique and Imperial College London - Department of Mathematics
Downloads 389 (118,333)

Abstract:

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optimal portfolio liquidation, price impact, propagator models, predictive signals, Volterra stochastic control

2.

Statistical Learning with Sublinear Regret of Propagator Models

Number of pages: 49 Posted: 12 Jan 2023 Last Revised: 31 Jan 2023
Eyal Neuman and Yufei Zhang
Imperial College London - Department of Mathematics and London School of Economics & Political Science
Downloads 242 (194,862)

Abstract:

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Optimal portfolio liquidation, price impact, propagator models, predictive signals, Volterra stochastic control, non-parametric estimation, reinforcement learning, regret analysis

3.

Evidence of Crowding on Russell 3000 Reconstitution Events

Number of pages: 34 Posted: 08 Jul 2020
Alessandro Micheli and Eyal Neuman
Imperial College London - Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 181 (254,684)

Abstract:

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crowding, indexing strategies, price impact, Russell Index

4.

Price Impact on Term Structure

Number of pages: 48 Posted: 03 Dec 2020
Damiano Brigo, Federico Graceffa and Eyal Neuman
Imperial College London - Department of Mathematics, Imperial College London - Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 88 (436,505)

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Price impact, term structure models, fixed-income market impact, cross impact, impacted risk-neutral measure, impacted yield curve, optimal execution, impacted bond price, impacted Eurodollar futures price

5.

Trading with the Crowd

Number of pages: 52 Posted: 29 Jun 2021
Eyal Neuman and Moritz Voss
Imperial College London - Department of Mathematics and Technische Universit├Ąt Berlin (TU Berlin)
Downloads 83 (452,050)
Citation 3

Abstract:

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Crowding, Optimal Portfolio Liquidation, Price Impact, Mean Field Games, Optimal Stochastic Control, Predictive Signals

6.

A Central Bank Strategy for Defending a Currency Peg

Number of pages: 11 Posted: 17 Dec 2019 Last Revised: 03 Aug 2020
Imperial College London - Department of Mathematics, University of Waterloo, University of Waterloo and Shandong University
Downloads 82 (455,355)

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currency target zone, currency peg, price impact, central bank intervention, singular stochastic control, second-order differential equation with infinite boundary conditions

7.

Phase Transitions in Kyle's Model with Market Maker Profit Incentives

Number of pages: 32 Posted: 22 Mar 2021
Abu Dhabi Investment Authority, ADIA, Imperial College London - Department of Mathematics and Technion
Downloads 33 (681,759)

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market making, price impact, market equilibrium, metastability, Kyle's model, market liquidity, market microstructure, neural networks

8.

Protecting Pegged Currency Markets from Speculative Investors

Number of pages: 16 Posted: 17 Apr 2020 Last Revised: 18 Feb 2021
Eyal Neuman and Alexander Schied
Imperial College London - Department of Mathematics and University of Waterloo
Downloads 32 (688,233)
Citation 2

Abstract:

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currency peg, market impact, target zone models, singular stochastic control, local time, Stackelberg equilibrium

9.

Closed-Loop Nash Competition for Liquidity

Number of pages: 39 Posted: 07 Dec 2021
Imperial College London - Department of Mathematics, Imperial College London - Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 24 (745,271)

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price impact, stochastic games, closed-loop Nash equilibrium