对策略交易者做市的平均场博弈

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2023-10-18 DOI:10.1137/22m1486492

Bastien Baldacci, Philippe Bergault, Dylan Possamaï

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引用次数: 0

摘要

我们设计了一个做市模型(la Avellaneda和Stoikov [Quant. Finance, 8 (2008)， pp. 217-224])，在这个模型中，市场接受者采取战略行动，从某种意义上说，他们根据外生交易信号设计交易策略。做市商根据市场接受者的平均行为选择报价，并通过平均场相互作用建模。在HJB-Fokker-Planck耦合系统的分辨率下，我们导出了做市商和代表性市场接受者的最优控制。这种方法足够灵活，可以将市场参与者的不同行为结合起来，并考虑到他们的策略对价格过程的影响。

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A Mean-Field Game of Market-Making against Strategic Traders

We design a market-making model à la Avellaneda and Stoikov [Quant. Finance, 8 (2008), pp. 217–224] in which the market-takers act strategically, in the sense that they design their trading strategy based on an exogenous trading signal. The market-maker chooses her quotes based on the average market-takers’ behavior, modelled through a mean-field interaction. We derive, up to the resolution of a coupled HJB-Fokker–Planck system, the optimal controls of the market-maker and the representative market-taker. This approach is flexible enough to incorporate different behaviors for the market-takers and takes into account the impact of their strategies on the price process.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.