Mean field game of controls and an application to trade crowding
Year of publication: |
June 2018
|
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Authors: | Cardaliaguet, Pierre ; Lehalle, Charles-Albert |
Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 12.2018, 3, p. 335-363
|
Subject: | Mean field games | Market microstructure | Crowding | Optimal liquidation | Optimal trading | Optimal stochastic control | Marktmikrostruktur | Kontrolltheorie | Control theory | Portfolio-Management | Portfolio selection | Spieltheorie | Game theory | Stochastischer Prozess | Stochastic process |
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