Optimal Trading with Differing Trade Signals
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Publication:4994352
DOI10.1080/1350486X.2020.1847672zbMath1466.91309arXiv2006.13585OpenAlexW3107009690MaRDI QIDQ4994352
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
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