Related papers: Optimal Execution and Macroscopic Market Making

In this paper we study stochastic dynamic games with many players; these are a fundamental model for a wide range of economic applications. The standard solution concept for such games is Markov perfect equilibrium (MPE), but it is well…

In this paper, the problem of smart grid energy management under stochastic dynamics is investigated. In the considered model, at the demand side, it is assumed that customers can act as prosumers who own renewable energy sources and can…

We study the perfect information Nash equilibrium between a broker and her clients -- an informed trader and an uniformed trader. In our model, the broker trades in the lit exchange where trades have instantaneous and transient price impact…

In this article, a game-theoretic model is constructed that is related to the problem of optimal assignments. Examples are considered. A compromise point is found, the Nash equilibriums and the decision of the Nash arbitration scheme are…

This paper is concerned with a new class of mean-field games which involve a finite number of agents. Necessary and sufficient conditions are obtained for the existence of the decentralized open-loop Nash equilibrium in terms of…

This study explores the design of an efficient rebate policy in auction markets, focusing on a continuous-time setting with competition among market participants. In this model, a stock exchange collects transaction fees from auction…

Stochastic differential games have been used extensively to model agents' competitions in Finance, for instance, in P2P lending platforms from the Fintech industry, the banking system for systemic risk, and insurance markets. The recently…

We consider the problem of dynamic buying and selling of shares from a collection of $N$ stocks with random price fluctuations. To limit investment risk, we place an upper bound on the total number of shares kept at any time. Assuming that…

Trading frictions are stochastic. They are, moreover, in many instances fast-mean reverting. Here, we study how to optimally trade in a market with stochastic price impact and study approximations to the resulting optimal control problem…

The use of reinforcement learning algorithms in financial trading is becoming increasingly prevalent. However, the autonomous nature of these algorithms can lead to unexpected outcomes that deviate from traditional game-theoretical…

Algorithmic trading in modern financial markets is widely acknowledged to exhibit strategic, game-theoretic behaviors whose complexity can be difficult to model. A recent series of papers (Chriss, 2024b,c,a, 2025) has made progress in the…

This paper studies a stochastic utility maximization game under relative performance concerns in finite agent and infinite agent settings, where a continuum of agents interact through a graphon (see definition below). We consider an…

We study an optimal execution strategy for purchasing a large block of shares over a fixed time horizon. The execution problem is subject to a general price impact that gradually dissipates due to market resilience. We allow for general…

We propose a novel method to find Nash equilibria in games with binary decision variables by including compensation payments and incentive-compatibility constraints from non-cooperative game theory directly into an optimization framework in…

The problem of order execution is cast as a relative entropy-regularized robust optimal control problem in this article. The order execution agent's goal is to maximize an objective functional associated with his profit-and-loss of trading…

We study partial information Nash equilibrium between a broker and an informed trader. In this setting, the informed trader, who possesses knowledge of a trading signal, trades multiple assets with the broker in a dealer market.…

We construct Nash equilibria in feedback form for a class of two-person stochastic games of singular control with absorption, arising from a stylized model for corporate finance. More precisely, the paper focusses on a strategic dynamic…

This paper studies a nonlinear open-loop mean field Stackelberg stochastic differential game by using the probabilistic method through the FBSDE system and the idea of taking control as the fixed point. We successively construct the…

We investigate a portfolio selection problem involving multi competitive agents, each exhibiting mean-variance preferences. Unlike classical models, each agent's utility is determined by their relative wealth compared to the average wealth…

We study a linear price impact model including other liquidity takers, whose flow of orders either follows a Poisson or a Hawkes process. The optimal execution problem is solved explicitly in this context, and the closed-formula optimal…