From optimal execution in front of a background noise to mean field games

Charles-Albert Lehalle

Capital Market Fund

Abstract

A large number of mathematical frameworks are available to control optimally of the execution of a large order (see for instance "Optimal control of trading algorithms: a general impulse control approach" SIAM J. Financial... [ view full abstract ]

Session

MO-PL-A2 » Charles-Albert Lehalle (10:00 - Monday, 16th July, Burke Theater)