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Found 9 papers, 0 papers with code
A Mean-Field Game of Market Entry: Portfolio Liquidation with Trading Constraints
We consider both $N$-player and mean-field games of optimal portfolio liquidation in which the players are not allowed to change the direction of trading.
Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility
We establish the weak convergence of the intensity of a nearly-unstable Hawkes process with heavy-tailed kernel.
Extended mean-field control problems with multi-dimensional singular controls
We consider extended mean-field control problems with multi-dimensional singular controls.
Second-Order Approximation of Limit Order Books in a Single-Scale Regime
We establish a first and second-order approximation for an infinite dimensional limit order book model (LOB) in a single (''critical'') scaling regime where market and limit orders arrive at a common time scale.
Mean-Field Liquidation Games with Market Drop-out
We prove that equilibria (both in the mean-field and the finite player game) are given as solutions to a non-linear higher-order integral equation with endogenous terminal condition.
A Mean-Field Control Problem of Optimal Portfolio Liquidation with Semimartingale Strategies
We consider a mean-field control problem with c\`adl\`ag semimartingale strategies arising in portfolio liquidation models with transient market impact and self-exciting order flow.
A Maximum Principle approach to deterministic Mean Field Games of Control with Absorption
As a result of the state constraint the optimal time of absorption becomes part of the equilibrium.
Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies
Within our modelling framework, the optimal portfolio process converges to the solution of an optimal liquidation problem with general semimartingale controls when the instantaneous impact factor converges to zero.
Portfolio liquidation under transient price impact -- theoretical solution and implementation with 100 NASDAQ stocks
We derive an explicit solution for deterministic market impact parameters in the Graewe and Horst (2017) portfolio liquidation model.
