Mean-field game strategies for optimal execution

Xuancheng Huang, Sebastian Jaimungal & Mojtaba Nourian

Year of publication:	2019
Authors:	Huang, Xuancheng ; Jaimungal, Sebastian ; Nourian, Mojtaba
Subject:	Algorithmic trading \| high-frequency trading \| optimal execution \| stochastic optimal control \| mean-field games and market microstructure theory \| Elektronisches Handelssystem \| Electronic trading \| Marktmikrostruktur \| Market microstructure \| Spieltheorie \| Game theory \| Wertpapierhandel \| Securities trading \| Kontrolltheorie \| Control theory \| Stochastischer Prozess \| Stochastic process

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