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A MEAN FIELD GAME OF PORTFOLIO TRADING AND ITS CONSEQUENCES ON PERCEIVED CORRELATIONS. (2019). Mouzouni, Charafeddine ; Lehalle, Charles-Albert.
In: Working Papers.
RePEc:hal:wpaper:hal-02003143.

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Cited: 16

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  1. LQG Risk-Sensitive Mean Field Games with a Major Agent: A Variational Approach. (2023). Breton, Michele ; Firoozi, Dena ; Liu, Hanchao.
    In: Papers.
    RePEc:arx:papers:2305.15364.

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  2. Reinforcement learning and stochastic optimisation. (2022). Jaimungal, Sebastian.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:26:y:2022:i:1:d:10.1007_s00780-021-00467-2.

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  3. A mean?field game approach to equilibrium pricing in solar renewable energy certificate markets. (2022). Jaimungal, Sebastian ; Firoozi, Dena ; Shrivats, Arvind V.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:32:y:2022:i:3:p:779-824.

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  4. A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition. (2021). Takahashi, Akihiko ; Fujii, Masaaki.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2021cf1177.

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  5. Equilibrium Price Formation with a Major Player and its Mean Field Limit. (2021). Takahashi, Akihiko ; Fujii, Masaaki.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2021cf1162.

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  6. A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition. (2021). Takahashi, Akihiko ; Fujii, Masaaki.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf521.

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  7. Equilibrium Price Formation with a Major Player and its Mean Field Limit. (2021). Takahashi, Akihiko ; Fujii, Masaaki.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf509.

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  8. Deep Learning for Principal-Agent Mean Field Games. (2021). Chen, Yichao ; Shrivats, Arvind ; Campbell, Steven ; Jaimungal, Sebastian.
    In: Papers.
    RePEc:arx:papers:2110.01127.

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  9. Equilibrium Price Formation with a Major Player and its Mean Field Limit. (2021). Takahashi, Akihiko ; Fujii, Masaaki.
    In: Papers.
    RePEc:arx:papers:2102.10756.

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  10. A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit. (2020). Takahashi, Akihiko ; Fujii, Masaaki.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2020cf1156.

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  11. How to build a cross-impact model from first principles: Theoretical requirements and empirical results. (2020). Benzaquen, Michael ; Mastromatteo, Iacopo ; Tomas, Mehdi.
    In: Working Papers.
    RePEc:hal:wpaper:hal-02567489.

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  12. Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations. (2020). Fujii, Masaaki.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf497.

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  13. A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit. (2020). Takahashi, Akihiko ; Fujii, Masaaki.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf495.

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  14. A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit. (2020). Takahashi, Akihiko ; Fujii, Masaaki.
    In: Papers.
    RePEc:arx:papers:2010.09186.

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  15. How to build a cross-impact model from first principles: Theoretical requirements and empirical results. (2020). Benzaquen, Michael ; Mastromatteo, Iacopo ; Tomas, Mehdi.
    In: Papers.
    RePEc:arx:papers:2004.01624.

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  16. A Mean-Field Game Approach to Equilibrium Pricing, Optimal Generation, and Trading in Solar Renewable Energy Certificate (SREC) Markets. (2020). Jaimungal, Sebastian ; Firoozi, Dena ; Shrivats, Arvind.
    In: Papers.
    RePEc:arx:papers:2003.04938.

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  4. On effects of negative resilience on optimal trade execution in stochastic order books. (2021). Urusov, Mikhail ; Kruse, Thomas ; Ackermann, Julia.
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  11. Optimal liquidation trajectories for the Almgren-Chriss model with Levy processes. (2020). Xu, Junwei ; Lokka, Arne.
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  12. Revisiting the stealth trading hypothesis: Does time-varying liquidity explain the size-effect?. (2019). Hautsch, Nikolaus ; Walsh, Christopher ; Cebiroglu, Gokhan .
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