Matches in SemOpenAlex for { <https://semopenalex.org/work/W3037607737> ?p ?o ?g. }
Showing items 1 to 81 of
81
with 100 items per page.
- W3037607737 abstract "We consider the problem of maximizing portfolio value when an agent has a subjective view on asset value which differs from the traded market price. The agent's trades will have a price impact which affect the price at which the asset is traded. In addition to the agent's trades affecting the market price, the agent may change his view on the asset's value if its difference from the market price persists. We also consider a situation of several agents interacting and trading simultaneously when they have a subjective view on the asset value. Two cases of the subjective views of agents are considered, one in which they all share the same information, and one in which they all have an individual signal correlated with price innovations. To study the large agent problem we take a mean-field game approach which remains tractable. After classifying the mean-field equilibrium we compute the cross-sectional distribution of agents' inventories and the dependence of price distribution on the amount of shared information among the agents." @default.
- W3037607737 created "2020-07-02" @default.
- W3037607737 creator A5008969342 @default.
- W3037607737 creator A5029466911 @default.
- W3037607737 date "2020-06-24" @default.
- W3037607737 modified "2023-09-27" @default.
- W3037607737 title "Optimal Trading with Differing Trade Signals" @default.
- W3037607737 cites W1988270113 @default.
- W3037607737 cites W2050031929 @default.
- W3037607737 cites W2108381092 @default.
- W3037607737 cites W2586728061 @default.
- W3037607737 cites W2894103496 @default.
- W3037607737 cites W2897847861 @default.
- W3037607737 cites W2928306472 @default.
- W3037607737 cites W2963410040 @default.
- W3037607737 cites W3008053827 @default.
- W3037607737 cites W3123018500 @default.
- W3037607737 cites W3123296813 @default.
- W3037607737 cites W3125789262 @default.
- W3037607737 hasPublicationYear "2020" @default.
- W3037607737 type Work @default.
- W3037607737 sameAs 3037607737 @default.
- W3037607737 citedByCount "0" @default.
- W3037607737 crossrefType "posted-content" @default.
- W3037607737 hasAuthorship W3037607737A5008969342 @default.
- W3037607737 hasAuthorship W3037607737A5029466911 @default.
- W3037607737 hasConcept C106159729 @default.
- W3037607737 hasConcept C110121322 @default.
- W3037607737 hasConcept C119857082 @default.
- W3037607737 hasConcept C134306372 @default.
- W3037607737 hasConcept C149782125 @default.
- W3037607737 hasConcept C162324750 @default.
- W3037607737 hasConcept C175444787 @default.
- W3037607737 hasConcept C2776291640 @default.
- W3037607737 hasConcept C2780821815 @default.
- W3037607737 hasConcept C33923547 @default.
- W3037607737 hasConcept C38652104 @default.
- W3037607737 hasConcept C41008148 @default.
- W3037607737 hasConcept C64112148 @default.
- W3037607737 hasConcept C76178495 @default.
- W3037607737 hasConceptScore W3037607737C106159729 @default.
- W3037607737 hasConceptScore W3037607737C110121322 @default.
- W3037607737 hasConceptScore W3037607737C119857082 @default.
- W3037607737 hasConceptScore W3037607737C134306372 @default.
- W3037607737 hasConceptScore W3037607737C149782125 @default.
- W3037607737 hasConceptScore W3037607737C162324750 @default.
- W3037607737 hasConceptScore W3037607737C175444787 @default.
- W3037607737 hasConceptScore W3037607737C2776291640 @default.
- W3037607737 hasConceptScore W3037607737C2780821815 @default.
- W3037607737 hasConceptScore W3037607737C33923547 @default.
- W3037607737 hasConceptScore W3037607737C38652104 @default.
- W3037607737 hasConceptScore W3037607737C41008148 @default.
- W3037607737 hasConceptScore W3037607737C64112148 @default.
- W3037607737 hasConceptScore W3037607737C76178495 @default.
- W3037607737 hasLocation W30376077371 @default.
- W3037607737 hasOpenAccess W3037607737 @default.
- W3037607737 hasPrimaryLocation W30376077371 @default.
- W3037607737 hasRelatedWork W140930154 @default.
- W3037607737 hasRelatedWork W1498722307 @default.
- W3037607737 hasRelatedWork W1580687622 @default.
- W3037607737 hasRelatedWork W1974825018 @default.
- W3037607737 hasRelatedWork W1989620386 @default.
- W3037607737 hasRelatedWork W2016789320 @default.
- W3037607737 hasRelatedWork W2105190587 @default.
- W3037607737 hasRelatedWork W2170256069 @default.
- W3037607737 hasRelatedWork W2332206765 @default.
- W3037607737 hasRelatedWork W2586432299 @default.
- W3037607737 hasRelatedWork W2909549027 @default.
- W3037607737 hasRelatedWork W2914142551 @default.
- W3037607737 hasRelatedWork W2973582835 @default.
- W3037607737 hasRelatedWork W3124094475 @default.
- W3037607737 hasRelatedWork W3124569270 @default.
- W3037607737 hasRelatedWork W3125210341 @default.
- W3037607737 hasRelatedWork W49236868 @default.
- W3037607737 hasRelatedWork W49539632 @default.
- W3037607737 hasRelatedWork W99036405 @default.
- W3037607737 hasRelatedWork W2736369036 @default.
- W3037607737 isParatext "false" @default.
- W3037607737 isRetracted "false" @default.
- W3037607737 magId "3037607737" @default.
- W3037607737 workType "article" @default.