Mean-Field Game Strategies for Optimal Execution
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DOI: 10.1080/1350486X.2019.1603183
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Cited by:
- David Evangelista & Yuri Thamsten, 2020. "On finite population games of optimal trading," Papers 2004.00790, arXiv.org, revised Feb 2021.
- Horst, Ulrich & Xia, Xiaonyu & Zhou, Chao, 2021. "Portfolio Liquidation under Factor Uncertainty," Rationality and Competition Discussion Paper Series 274, CRC TRR 190 Rationality and Competition.
- Eyal Neuman & Moritz Vo{ss}, 2021. "Trading with the Crowd," Papers 2106.09267, arXiv.org, revised Mar 2023.
- Arvind Shrivats & Dena Firoozi & Sebastian Jaimungal, 2020. "A Mean-Field Game Approach to Equilibrium Pricing in Solar Renewable Energy Certificate Markets," Papers 2003.04938, arXiv.org, revised Aug 2021.
- Masaaki Fujii, 2020. "Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations," CARF F-Series CARF-F-497, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Moritz Vo{ss}, 2019. "A two-player portfolio tracking game," Papers 1911.05122, arXiv.org, revised Jul 2022.
- Fu, Guanxing & Horst, Ulrich & Xia, Xiaonyu, 2022. "Portfolio Liquidation Games with Self-Exciting Order Flow," Rationality and Competition Discussion Paper Series 327, CRC TRR 190 Rationality and Competition.
- Dena Firoozi & Arvind V Shrivats & Sebastian Jaimungal, 2021. "Principal agent mean field games in REC markets," Papers 2112.11963, arXiv.org, revised Jun 2022.
- Philippe Bergault & Leandro S'anchez-Betancourt, 2024. "A Mean Field Game between Informed Traders and a Broker," Papers 2401.05257, arXiv.org.
- Xue Cheng & Meng Wang & Ziyi Xu, 2024. "Mean Field Game of High-Frequency Anticipatory Trading," Papers 2404.18200, arXiv.org.
- Sebastian Jaimungal, 2022. "Reinforcement learning and stochastic optimisation," Finance and Stochastics, Springer, vol. 26(1), pages 103-129, January.
- Yufan Chen & Lan Wu & Renyuan Xu & Ruixun Zhang, 2024. "Periodic Trading Activities in Financial Markets: Mean-field Liquidation Game with Major-Minor Players," Papers 2408.09505, arXiv.org.
- Bastien Baldacci & Philippe Bergault & Dylan Possamai, 2022. "A mean-field game of market-making against strategic traders," Papers 2203.13053, arXiv.org.
- Guanxing Fu & Ulrich Horst & Xiaonyu Xia, 2020. "Portfolio Liquidation Games with Self-Exciting Order Flow," Papers 2011.05589, arXiv.org.
- Paulwin Graewe & Ulrich Horst & Ronnie Sircar, 2021. "A Maximum Principle approach to deterministic Mean Field Games of Control with Absorption," Papers 2104.06152, arXiv.org.
- Ludovic Tangpi & Shichun Wang, 2022. "Optimal Bubble Riding: A Mean Field Game with Varying Entry Times," Papers 2209.04001, arXiv.org, revised Jan 2024.
- Ulrich Horst & Xiaonyu Xia & Chao Zhou, 2019. "Portfolio liquidation under factor uncertainty," Papers 1909.00748, arXiv.org.
- Masamitsu Ohnishi & Makoto Shimoshimizu, 2024. "Trade execution games in a Markovian environment," Papers 2405.07184, arXiv.org.
- Guillermo Alonso Alvarez & Sergey Nadtochiy & Kevin Webster, 2022. "Optimal brokerage contracts in Almgren-Chriss model with multiple clients," Papers 2204.05403, arXiv.org.
- Steven Campbell & Yichao Chen & Arvind Shrivats & Sebastian Jaimungal, 2021. "Deep Learning for Principal-Agent Mean Field Games," Papers 2110.01127, arXiv.org.
- Hanchao Liu & Dena Firoozi & Mich`ele Breton, 2023. "LQG Risk-Sensitive Single-Agent and Major-Minor Mean Field Game Systems: A Variational Framework," Papers 2305.15364, arXiv.org, revised Aug 2023.
- Moritz Voß, 2022. "A two-player portfolio tracking game," Mathematics and Financial Economics, Springer, volume 16, number 6, March.
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