Control-Stopping Games for Market Microstructure and Beyond


We present a family of a control-stopping games which arise naturally in equilibrium-based models of market microstructure, as well as in other models with strategic buyers and sellers. In such a game, an agent can always stop... [ view full abstract ]


  1. Sergey Nadtochiy (University of Michigan)
  2. Roman Gayduk (University of Michigan)

Topic Areas

Backward Stochastic Differential Equations , Equilibrium Models , High-Frequency Trading


TU-P-SW » Equilibria: Macro - and Microeconomic Aspects (14:30 - Tuesday, 17th July, Swift)

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