A Mean-Field Game of Market-Making against Strategic Traders

DOI10.1137/22m1486492zbMath1527.91156arXiv2203.13053OpenAlexW4316590217MaRDI QIDQ6070673

Bastien Baldacci, Philippe Bergault, Dylan Possamaï

Publication date: 23 November 2023

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2203.13053

zbMATH Keywords

mean-field gamesalgorithmic tradingmarket-making

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Mean field games and control (49N80) Mean field games (aspects of game theory) (91A16) Financial markets (91G15)

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