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Mean-Field Game Strategies for Optimal Execution |
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| Authors: | Xuancheng Huang Mojtaba Nourian |
| Affiliation: | 1. Department of Statistical Sciences, University of Toronto, Toronto, Canada;2. Model Validation, Bank of Montreal (BMO) Financial Group, Toronto, Canada |
| Abstract: | |
| Keywords: | Algorithmic trading high-frequency trading optimal execution stochastic optimal control mean-field games and market microstructure theory |