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Mean-Field Game Strategies for Optimal Execution

Citations

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Cited by:

  1. David Evangelista & Yuri Thamsten, 2020. "On finite population games of optimal trading," Papers 2004.00790, arXiv.org, revised Feb 2021.
  2. 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.
  3. Eyal Neuman & Moritz Vo{ss}, 2021. "Trading with the Crowd," Papers 2106.09267, arXiv.org, revised Mar 2023.
  4. Carè, Rosella & Cumming, Douglas, 2024. "Technology and automation in financial trading: A bibliometric review," Research in International Business and Finance, Elsevier, vol. 71(C).
  5. Francesco Cordoni & Fabrizio Lillo, 2024. "Transient Impact from the Nash Equilibrium of a Permanent Market Impact Game," Dynamic Games and Applications, Springer, vol. 14(2), pages 333-361, May.
  6. 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.
  7. 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.
  8. Moritz Vo{ss}, 2019. "A two-player portfolio tracking game," Papers 1911.05122, arXiv.org, revised Jul 2022.
  9. 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.
  10. Dena Firoozi & Arvind V Shrivats & Sebastian Jaimungal, 2021. "Principal agent mean field games in REC markets," Papers 2112.11963, arXiv.org, revised Jun 2022.
  11. Philippe Bergault & Leandro S'anchez-Betancourt, 2024. "A Mean Field Game between Informed Traders and a Broker," Papers 2401.05257, arXiv.org.
  12. Ryan Donnelly & Zi Li, 2025. "Liquidity Competition Between Brokers and an Informed Trader," Papers 2503.08287, arXiv.org.
  13. Xue Cheng & Meng Wang & Ziyi Xu, 2024. "Mean Field Game of High-Frequency Anticipatory Trading," Papers 2404.18200, arXiv.org.
  14. Sebastian Jaimungal, 2022. "Reinforcement learning and stochastic optimisation," Finance and Stochastics, Springer, vol. 26(1), pages 103-129, January.
  15. 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.
  16. Bastien Baldacci & Philippe Bergault & Dylan Possamai, 2022. "A mean-field game of market-making against strategic traders," Papers 2203.13053, arXiv.org.
  17. Guanxing Fu & Ulrich Horst & Xiaonyu Xia, 2020. "Portfolio Liquidation Games with Self-Exciting Order Flow," Papers 2011.05589, arXiv.org.
  18. 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.
  19. Ludovic Tangpi & Shichun Wang, 2022. "Optimal Bubble Riding: A Mean Field Game with Varying Entry Times," Papers 2209.04001, arXiv.org, revised Jan 2024.
  20. Ulrich Horst & Xiaonyu Xia & Chao Zhou, 2019. "Portfolio liquidation under factor uncertainty," Papers 1909.00748, arXiv.org.
  21. Masamitsu Ohnishi & Makoto Shimoshimizu, 2024. "Trade execution games in a Markovian environment," Papers 2405.07184, arXiv.org.
  22. Guillermo Alonso Alvarez & Sergey Nadtochiy & Kevin Webster, 2022. "Optimal brokerage contracts in Almgren-Chriss model with multiple clients," Papers 2204.05403, arXiv.org.
  23. Ludovic Tangpi & Shichun Wang, 2025. "Optimal bubble riding: a mean field game with varying entry times," Finance and Stochastics, Springer, vol. 29(2), pages 343-398, April.
  24. Steven Campbell & Yichao Chen & Arvind Shrivats & Sebastian Jaimungal, 2021. "Deep Learning for Principal-Agent Mean Field Games," Papers 2110.01127, arXiv.org.
  25. 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 Mar 2025.
  26. Moritz Voß, 2022. "A two-player portfolio tracking game," Mathematics and Financial Economics, Springer, volume 16, number 6, September.
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