Algorithmic Trading with Partial Information: A Mean Field Game Analysis


Financial markets are often driven by latent factors. Here, we address an algorithmic trading problem with collections of heterogeneous agents who aim to perform statistical arbitrage in such latent environments, and the... [ view full abstract ]


  1. Sebastian Jaimungal (University of Toronto)
  2. Philippe Casgrain (University of Toronto)

Topic Areas

Game Theory , High-Frequency Trading , Trading Strategies


TU-A-SW » High Frequency Trading (11:30 - Tuesday, 17th July, Swift)

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