A Mean-Field Game of Market Entry – Portfolio Liquidation with Trading Constraints –

By Guanxing Fu, Paul P. Hager, Ulrich Horst

Published 2024-03-18

Everscope rating

1549.3

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Mean-Field Game Theory. Problem types: Portfolio Optimization, Algorithmic Execution.

arXiv:2403.10441 · Paper rankings

Open the interactive Everscope explorer for full analysis, charts, and paper battles.