Mean Field Game of High-Frequency Anticipatory Trading

By Xue Cheng, Meng Wang, Ziyi Xu

Published 2024-04-28

Everscope rating

1517.6

Relevance to quantitative trading

9 / 10

Implementation complexity

8 / 10

Reproducibility

3 / 5

About this paper

Methodology: Mean Field Game. Problem types: Optimization, Market Making, Algorithmic Execution.

arXiv:2404.18200 · Paper rankings

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