Optimal Trading with Differing Trade Signals

DOI10.1080/1350486X.2020.1847672zbMath1466.91309arXiv2006.13585OpenAlexW3107009690MaRDI QIDQ4994352

Ryan Donnelly, Matthew Lorig

Publication date: 17 June 2021

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

Full work available at URL: https://arxiv.org/abs/2006.13585

zbMATH Keywords

price impactmean-field gamesalgorithmic trading

Mathematics Subject Classification ID

Applications of game theory (91A80) Portfolio theory (91G10) Mean field games (aspects of game theory) (91A16) Financial markets (91G15)

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Cites Work

• Incorporating order-flow into optimal execution
• A Closed-Form Execution Strategy to Target Volume Weighted Average Price
• Continuous Auctions and Insider Trading
• Optimal Decisions in a Time Priority Queue
• Mean-Field Game Strategies for Optimal Execution
• Hedging nontradable risks with transaction costs and price impact
• Mean‐field games with differing beliefs for algorithmic trading