Trading with the crowd
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Publication:6146670
DOI10.1111/mafi.12390arXiv2106.09267OpenAlexW4365148600MaRDI QIDQ6146670
Publication date: 31 January 2024
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2106.09267
price impactoptimal stochastic controlmean field gamesoptimal portfolio liquidationcrowdingpredictive signals
Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10) Mean field games (aspects of game theory) (91A16)
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