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Portfolio Liquidation Games with Self-Exciting Order Flow

Author

Listed:
  • Fu, Guanxing

    (The Hong Kong Polytechnic University)

  • Horst, Ulrich

    (HU Berlin)

  • Xia, Xiaonyu

    (Wenzhou University)

Abstract

We analyze novel portfolio liquidation games with self-exciting order flow. Both the N-player game and the mean-field game are considered. We assume that players’ trading activities have an impact on the dynamics of future market order arrivals thereby generating an additional transient price impact. Given the strategies of her competitors each player solves a mean-field control problem. We characterize open-loop Nash equilibria in both games in terms of a novel mean-field FBSDE system with unknown terminal condition. Under a weak interaction condition we prove that the FBSDE systems have unique solutions. Using a novel su

Suggested Citation

  • 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.
    • Handle: RePEc:rco:dpaper:327
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Guanxing Fu & Ulrich Horst & Xiaonyu Xia, 2022. "A Mean-Field Control Problem of Optimal Portfolio Liquidation with Semimartingale Strategies," Papers 2207.00446, arXiv.org, revised Sep 2023.
    2. David Evangelista & Yuri Thamsten, 2023. "Approximately optimal trade execution strategies under fast mean-reversion," Papers 2307.07024, arXiv.org, revised Aug 2023.
    3. Guanxing Fu & Paul P. Hager & Ulrich Horst, 2023. "Mean-Field Liquidation Games with Market Drop-out," Papers 2303.05783, arXiv.org, revised Sep 2023.

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    More about this item

    Keywords

    stochastic games; mean-field games; portfolio liquidation; Hawkes process; singular terminal value;
    All these keywords.

    JEL classification:

    • E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)
    • H30 - Public Economics - - Fiscal Policies and Behavior of Economic Agents - - - General

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