Publications

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Author [ Title(Asc)] Type Year
O
Alfonsi, Aurélien , Antje Fruth, and Alexander Schied. “Optimal execution strategies in limit order books with general shape functions”. Quant. Finance 10 (2010): 143–157.
Schied, Alexander , Torsten Schöneborn, and Michael Tehranchi. “Optimal basket liquidation for CARA investors is deterministic”. Appl. Math. Finance 17 (2010): 471–489.
N
Luo, Xiangge , and Alexander Schied. “Nash equilibrium for risk-averse investors in a market impact game: finite and infinite time horizons”. Market Microstructure and Liquidity 5, no. 01n04 (2019): 2050001. https://arxiv.org/1807.03813.
M
Alfonsi, Aurélien , Florian Klöck, and Alexander Schied. “Multivariate transient price impact and matrix-valued positive definite functions”. Math. Oper. Res. 41 (2016): 914–934.
Hu, Hongda , Arthur Charpentier, Mario Ghossoub, and Alexander Schied. “Multiarmed bandits problem under the mean-variance setting” (Submitted). https://arxiv.org/abs/2212.09192.
Schied, Alexander . “Moderate deviations and functional LIL for super-Brownian motion”. Stochastic Process. Appl. 72 (1997): 11–25.
Schied, Alexander , Leo Speiser, and Iryna Voloshchenko. “Model-free portfolio theory and its functional master formula”. SIAM J. Financial Math. 9 (2018): 1074–1101.
Schied, Alexander . “Model-free CPPI”. J. Econom. Dynam. Control 40 (2014): 84–94.
Schied, Alexander , and Elias Strehle. “On the minimizers of energy forms with completely monotone kernel”. Applied Mathematics and Optimization 83, no. 1 (2021): 177–205.
Schied, Alexander , and Tao Zhang. “A market impact game under transient price impact”. Math. Oper. Res. 44 (2019): 102–121.
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Schöneborn, Torsten , and Alexander Schied. “Liquidation in the face of adversity: stealth vs. sunshine trading”, 2009.
Han, Xiyue , Alexander Schied, and Zhenyuan Zhang. “A limit theorem for Bernoulli convolutions and the Φ-variation of functions in the Takagi class.”. Journal of Theoretical Probability 35 (2022): 2853–2878. https://arxiv.org/abs/2102.02745.
Djehiche, Boualem , and Alexander Schied. “Large deviations for hierarchical systems of interacting jump processes”. J. Theoret. Probab. 11 (1998): 1–24.
H
Schied, Alexander , Elias Strehle, and Tao Zhang. “High-frequency limit of Nash equilibria in a market impact game with transient price impact”. SIAM J. Financial Math. 8 (2017): 589–634.
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Schied, Alexander . Grosse Abweichungen für die Pfade der Super-Brownschen Bewegung. Bonner Mathematische Schriften [Bonn Mathematical Publications]. Vol. 277. Universität Bonn, Mathematisches Institut, Bonn, 1995.
Schied, Alexander . “Geometric aspects of Fleming-Viot and Dawson-Watanabe processes”. Ann. Probab. 25 (1997): 1160–1179.

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