The execution problem in finance with major and minor traders: a mean field game formulation

DOI10.1007/978-3-319-70619-1_5zbMath1417.91112OpenAlexW2781726695MaRDI QIDQ1622591

Peter E. Caines, Dena Firoozi

Publication date: 19 November 2018

Full work available at URL: https://doi.org/10.1007/978-3-319-70619-1_5

zbMATH Keywords

financial modelsmean field gamehigh-frequency traders

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)

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