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A Mean Field Game of Portfolio Trading and Its Consequences On Perceived Correlations
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A Mean Field Game of Portfolio Trading and Its Consequences On Perceived Correlations (2019)A Mean Field Game of Portfolio Trading an…The Master Equation and the Convergence Problem in Mean Field Games (2019)The Master Equation and the C…Mean-Field Game Strategies for Optimal Execution (2019)Mean-Field Game Strategies fo…Incorporating order-flow into optimal execution (2016)Incorporating order-flow into…Algorithmic and High-Frequency Trading (2015)Algorithmic and High-Frequenc…Optimal Trading with Stochastic Liquidity and Volatility (2012)Optimal Trading with Stochast…Optimal Portfolio Liquidation with Limit Orders (2012)Optimal Portfolio Liquidation…LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY (2012)LIQUIDATION IN LIMIT ORDER BO…Informed Trading and Portfolio Returns (2012)Informed Trading and Portfoli…TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS (2011)TRANSIENT LINEAR PRICE IMPACT…Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models (2010)Optimal Trade Execution and A…No-dynamic-arbitrage and market impact (2010)No-dynamic-arbitrage and mark…Optimal execution strategies in limit order books with general shape functions (2009)Optimal execution strategies …Direct Estimation of Equity Market Impact (2005)Direct Estimation of Equity M…Optimal execution with nonlinear impact functions and trading-enhanced risk (2003)Optimal execution with nonlin…Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…Optimal control of execution costs (1998)Optimal control of execution …Common stock repurchases (1981)Continuous Auctions and Insider Trading (1985)Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism? (1999)Does Algorithmic Trading Improve Liquidity? (2011)60 Years of portfolio optimization: Practical challenges and current trends (2013)Dynamic Trading with Predictable Returns and Transaction Costs (2013)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Common factors in prices, order flows, and liquidity (2001)Stealth-trading: Which traders' trades move stock prices? (2001)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)Coherent Measures of Risk (1999)Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets (2008)Gain, Loss, and Asset Pricing (2000)How Markets Slowly Digest Changes in Supply and Demand (2009)Limit order books (2013)The Price Impact of Order Book Events (2013)Stability analysis of financial contagion due to overlapping portfolios (2014)Active Portfolio Management (2017)Optimal dealer pricing under transactions and return uncertainty (1981)Dynamical Models of Market Impact and Algorithms for Order Execution (2013)Optimal execution with limit and market orders (2015)Uninsured Idiosyncratic Risk and Aggregate Saving (1994)Income and Wealth Heterogeneity in the Macroeconomy (1998)Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle (2006)Mean-Field-Type Games in Engineering (2017)On the connection between symmetric $N$-player games and mean field games (2017)On the convergence of closed-loop Nash equilibria to the mean field game limit (2020)The Behavior of Stock Prices Around Institutional Trades (1995)The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (1996)Optimization Methods in Finance (2006)Market impact and trading profile of hidden orders in stock markets (2009)Market Microstructure Invariance: Empirical Hypotheses (2016)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)Price Dynamics in a Markovian Limit Order Market (2013)Optimal Execution in a General One-Sided Limit-Order Book (2011)A probabilistic weak formulation of mean field games and applications (2015)Market Making via Reinforcement Learning (2018)Bias in the effective bid-ask spread (2021)
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References

  • 2001Optimal execution of portfolio transactions1,598 cited
  • 1998Optimal control of execution costs1,056 cited
  • 2003Optimal execution with nonlinear impact functions and trading-enhanced risk466 cited
  • 2009Optimal execution strategies in limit order books with general shape functions408 cited
  • 2010No-dynamic-arbitrage and market impact402 cited
  • 2005Direct Estimation of Equity Market Impact363 cited
  • 2019The Master Equation and the Convergence Problem in Mean Field Games219 cited
  • 2011TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS186 cited
  • 2012Optimal Portfolio Liquidation with Limit Orders155 cited
  • 2015Algorithmic and High-Frequency Trading147 cited
  • 2012Optimal Trading with Stochastic Liquidity and Volatility146 cited
  • 2016Incorporating order-flow into optimal execution134 cited
  • 2012LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY132 cited
  • 2010Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models118 cited
  • 2012Informed Trading and Portfolio Returns90 cited
  • 2019Mean-Field Game Strategies for Optimal Execution

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