Mean field game of controls and an application to trade crowding

Mathematics and Financial Economics

Volumn 12, Issue 3, 2018, Pages 335-363

  Cardaliaguet, Pierre ^a   Lehalle, Charles Albert ^b,c  

^a UNIVERSITÉ PARIS DAUPHINE   (France)

^b Capital Fund Management   (France)

^c IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

Crowding; Market microstructure; Mean field games; Optimal liquidation; Optimal stochastic control; Optimal trading

Indexed keywords

EID: 85037362750     PISSN: 18629679     EISSN: 18629660     Source Type: Journal    
DOI: 10.1007/s11579-017-0206-z     Document Type: Article

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