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Mean-Field Game Strategies for Optimal Execution

Citations

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Cited by:

  1. 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.
  2. 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.
  3. 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.
  4. Dena Firoozi & Arvind V Shrivats & Sebastian Jaimungal, 2021. "Principal agent mean field games in REC markets," Papers 2112.11963, arXiv.org, revised Jun 2022.
  5. Philippe Bergault & Leandro S'anchez-Betancourt, 2024. "A Mean Field Game between Informed Traders and a Broker," Papers 2401.05257, arXiv.org.
  6. Ryan Donnelly & Zi Li, 2025. "Liquidity Competition Between Brokers and an Informed Trader," Papers 2503.08287, arXiv.org, revised Nov 2025.
  7. Xue Cheng & Meng Wang & Ziyi Xu, 2024. "Mean Field Game of High-Frequency Anticipatory Trading," Papers 2404.18200, arXiv.org.
  8. Sebastian Jaimungal, 2022. "Reinforcement learning and stochastic optimisation," Finance and Stochastics, Springer, vol. 26(1), pages 103-129, January.
  9. Masamitsu Ohnishi & Makoto Shimoshimizu, 2024. "Trade execution games in a Markovian environment," Papers 2405.07184, arXiv.org.
  10. Guanxing Fu & Paul P. Hager & Ulrich Horst, 2023. "Mean-Field Liquidation Games with Market Drop-out," Papers 2303.05783, arXiv.org, revised Sep 2023.
  11. Guanxing Fu & Paul P. Hager & Ulrich Horst, 2024. "A Mean-Field Game of Market Entry: Portfolio Liquidation with Trading Constraints," Papers 2403.10441, arXiv.org, revised Jul 2025.
  12. Guanxing Fu & Paul Hager & Ulrich Horst, 2024. "A Mean-Field Game of Market Entry," Rationality and Competition Discussion Paper Series 517, CRC TRR 190 Rationality and Competition.
  13. Hanchao Liu & Dena Firoozi, 2026. "Infinite-Dimensional LQ Mean Field Games with Common Noise: Small and Arbitrary Finite Time Horizons," Papers 2601.13493, arXiv.org, revised Jan 2026.
  14. Moritz Voß, 2022. "A two-player portfolio tracking game," Mathematics and Financial Economics, Springer, volume 16, number 6, January.
  15. David Evangelista & Yuri Thamsten, 2020. "On finite population games of optimal trading," Papers 2004.00790, arXiv.org, revised Feb 2021.
  16. Eyal Neuman & Moritz Vo{ss}, 2021. "Trading with the Crowd," Papers 2106.09267, arXiv.org, revised Mar 2023.
  17. Carè, Rosella & Cumming, Douglas, 2024. "Technology and automation in financial trading: A bibliometric review," Research in International Business and Finance, Elsevier, vol. 71(C).
  18. 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.
  19. Moritz Vo{ss}, 2019. "A two-player portfolio tracking game," Papers 1911.05122, arXiv.org, revised Jul 2022.
  20. 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.
  21. 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.
  22. Zhang, Shuhua & Qian, Shenghua & Wang, Xinyu & Cheng, Yilin, 2025. "Deep learning solution to mean field game of optimal liquidation," Finance Research Letters, Elsevier, vol. 73(C).
  23. Bastien Baldacci & Philippe Bergault & Dylan Possamai, 2022. "A mean-field game of market-making against strategic traders," Papers 2203.13053, arXiv.org.
  24. Rinel Foguen Tchuendom & Dena Firoozi & Mich`ele Breton, 2025. "Ranking Quantilized Mean-Field Games with an Application to Early-Stage Venture Investments," Papers 2507.00853, arXiv.org.
  25. Guanxing Fu & Ulrich Horst & Xiaonyu Xia, 2020. "Portfolio Liquidation Games with Self-Exciting Order Flow," Papers 2011.05589, arXiv.org.
  26. 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.
  27. Ludovic Tangpi & Shichun Wang, 2022. "Optimal Bubble Riding: A Mean Field Game with Varying Entry Times," Papers 2209.04001, arXiv.org, revised Jan 2024.
  28. Ulrich Horst & Xiaonyu Xia & Chao Zhou, 2019. "Portfolio liquidation under factor uncertainty," Papers 1909.00748, arXiv.org.
  29. Guillermo Alonso Alvarez & Sergey Nadtochiy & Kevin Webster, 2022. "Optimal brokerage contracts in Almgren-Chriss model with multiple clients," Papers 2204.05403, arXiv.org.
  30. 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.
  31. Steven Campbell & Yichao Chen & Arvind Shrivats & Sebastian Jaimungal, 2021. "Deep Learning for Principal-Agent Mean Field Games," Papers 2110.01127, arXiv.org.
  32. 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.
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