Mean-Field Game Strategies for Optimal Execution

DOI10.1080/1350486X.2019.1603183zbMath1410.91498OpenAlexW3123018500WikidataQ128015550 ScholiaQ128015550MaRDI QIDQ5382635

Sebastian Jaimungal, Mojtaba Nourian, Xuancheng Huang

Publication date: 18 June 2019

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2019.1603183

zbMATH Keywords

stochastic optimal controlhigh-frequency tradingoptimal executionalgorithmic tradingmean-field games and market microstructure theory

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Actuarial science and mathematical finance (91G99)

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