Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis

DOI10.1007/s11579-015-0157-1zbMath1404.91245arXiv1305.6323OpenAlexW2963309180MaRDI QIDQ300838

Jean-Michel Lasry, Aimé Lachapelle, Charles-Albert Lehalle, Pierre-Louis Lions

Publication date: 29 June 2016

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1305.6323

zbMATH Keywords

market microstructuremean field gameshigh frequency tradingliquidity equilibriumorder-driven marketorderbook modelingprice formation processwaiting cost

Mathematics Subject Classification ID

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

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Cites Work

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