Mojtaba Nourian

Bank of Montreal

Ontario

Canada

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Mean-Field Game Strategies for Optimal Execution

Applied Mathematical Finance
Number of pages: 30 Posted: 16 Mar 2015 Last Revised: 09 Apr 2019
Xuancheng Huang, Sebastian Jaimungal and Mojtaba Nourian
university of Toronto, University of Toronto - Department of Statistics and Bank of Montreal
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Abstract:

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Algorithmic trading, high-frequency trading, optimal execution, stochastic optimal control, mean-field games, market microstructure