相关论文: Mean Field Game of High-Frequency Anticipatory Tra…
Nearly one-half of all trades in financial markets are executed by high-speed, autonomous computer programs -- a type of trading often called high-frequency trading (HFT). Although evidence suggests that HFT increases the efficiency of…
We investigate a market with a normal-speed informed trader (IT) who may employ mixed strategy and multiple anticipatory high-frequency traders (HFTs) who are under different inventory pressures, in a three-period Kyle's model. The pure-…
High-speed computerized trading, often called "high-frequency trading" (HFT), has increased dramatically in financial markets over the last decade. In the US and Europe, it now accounts for nearly one-half of all trades. Although evidence…
This paper deals with a stochastic order-driven market model with waiting costs, for order books with heterogenous traders. Offer and demand of liquidity drives price formation and traders anticipate future evolutions of the order book. The…
In an extended Kyle's model, the interactions between a large informed trader and a high-frequency trader (HFT) who can anticipate the former's incoming order are studied. We find that, in equilibrium, HFT may play the role of Small-IT or…
We study Nash equilibria for inventory-averse high-frequency traders (HFTs), who trade to exploit information about future price changes. For discrete trading rounds, the HFTs' optimal trading strategies and their equilibrium price impact…
High Frequency Trading (HFT) represents an ever growing proportion of all financial transactions as most markets have now switched to electronic order book systems. The main goal of the paper is to propose continuous time equations which…
This paper studies the influences of a high-frequency trader (HFT) on a large trader whose future trading is predicted by the former. We conclude that HFT always front-runs and the large trader is benefited when: (1) there is sufficient…
In this paper we formulate the now classical problem of optimal liquidation (or optimal trading) inside a Mean Field Game (MFG). This is a noticeable change since usually mathematical frameworks focus on one large trader in front of a…
High-frequency trading (HFT) represents a pivotal and intensely competitive domain within the financial markets. The velocity and accuracy of data processing exert a direct influence on profitability, underscoring the significance of this…
High-frequency trading (HFT) is an investing strategy that continuously monitors market states and places bid and ask orders at millisecond speeds. Traditional HFT approaches fit models with historical data and assume that future market…
High-frequency trading (HFT) accounts for almost half of equity trading volume, yet it is not identified in public data. We develop novel data-driven measures of HFT activity that separate strategies that supply and demand liquidity. We…
We find closed-form solutions to the stochastic game between a broker and a mean-field of informed traders. In the finite player game, the informed traders observe a common signal and a private signal. The broker, on the other hand,…
The realm of High-Frequency Trading (HFT) is characterized by rapid decision-making processes that capitalize on fleeting market inefficiencies. As the financial markets become increasingly competitive, there is a pressing need for…
We present a systematic and reliable methodology, termed hierarchical mean-field theory (HMFT), to study and predict the behavior of strongly coupled many-particle systems. HMFT is a simple approximation, based upon group theoretical…
High-frequency trading (HFT) that executes algorithmic trading in short time scales, has recently occupied the majority of cryptocurrency market. Besides traditional quantitative trading methods, reinforcement learning (RL) has become…
The dynamics of minority games with agents trading on different time scales is studied via dynamical mean-field theory. We analyze the case where the agents' decision-making process is deterministic and its stochastic generalization with…
Mean field games and controls involve guiding the behavior of large populations of interacting agents, where each individual's influence on the group is negligible but collectively impacts overall dynamics. Hybrid systems integrate…
We consider a stochastic game between a slow institutional investor and a high-frequency trader who are trading a risky asset and their aggregated order-flow impacts the asset price. We model this system by means of two coupled stochastic…
Even when confronted with the same data, agents often disagree on a model of the real-world. Here, we address the question of how interacting heterogenous agents, who disagree on what model the real-world follows, optimize their trading…