PLAYING WITH FIRE? A MEAN FIELD GAME ANALYSIS OF FIRE SALES AND SYSTEMIC RISK UNDER REGULATORY CAPITAL CONSTRAINTS

By RÜDIGER FREY, THERESA TRAXLER

Rating

1719
Battle Count: 140

Relevance

6/10
While not directly applicable to trading, the model provides insights into systemic risk and market dynamics during fire sales, which could inform risk management strategies in quantitative trading

Implementation Complexity

8/10
Requires advanced knowledge of partial differential equations, numerical methods, and mean field game theory

Reproducibility

3/5
The paper provides detailed mathematical formulations and numerical methods, but lacks specific code implementation details

About this paper

Methodology: Mean Field Game of Controls. Problem types: Risk Management, Financial Stability Analysis.

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