Optimal multi-asset trading with linear costs: a mean-field approach

DOI10.1080/14697688.2020.1784987zbMath1467.91171arXiv1905.04821OpenAlexW3083958383MaRDI QIDQ4991066

Benjamin Petit, Jean-Philippe Bouchaud, Matt Emschwiller

Publication date: 2 June 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.04821

zbMATH Keywords

multi-asset problemmean field approach to trading

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Financial markets (91G15)

Related Items (1)

Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics

Cites Work

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• Trading with Small Price Impact

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