Imperial College London
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Dr Eyal Neuman

Faculty of Natural Sciences, Department of Mathematics

Reader of Mathematics
 
 
 
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Contact

 

e.neumann Website CV

 
 
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Location

 

802Weeks BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Neumann:2023:10.1111/mafi.12390,
author = {Neumann, E and Voss, M},
doi = {10.1111/mafi.12390},
journal = {Mathematical Finance},
pages = {548--617},
title = {Trading with the crowd},
url = {http://dx.doi.org/10.1111/mafi.12390},
volume = {33},
year = {2023}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - We formulate and solve a multi-player stochastic differential game between financial agents who seek to cost-efficiently liquidate their position in a risky asset in the presence of jointly aggregated transient price impact, along with taking into account a common general price predicting signal. The unique Nash-equilibrium strategies reveal how each agent's liquidation policy adjusts the predictive trading signal to the aggregated transient price impact induced by all other agents. This unfolds a quantitative relation between trading signals and the order flow in crowded markets. We also formulate and solve the corresponding mean field game in the limit of infinitely many agents. We prove that the equilibrium trading speed and the value function of an agent in the finite N-player game converges to the corresponding trading speed and value function in the mean field game at rate O(N²). In addition, we prove that the mean field optimal strategy provides an approximate Nash-equilibrium for the finite-player game.
AU  - Neumann,E
AU  - Voss,M
DO  - 10.1111/mafi.12390
EP  - 617
PY  - 2023///
SN  - 0960-1627
SP  - 548
TI  - Trading with the crowd
T2  - Mathematical Finance
UR  - http://dx.doi.org/10.1111/mafi.12390
UR  - https://onlinelibrary.wiley.com/doi/full/10.1111/mafi.12390
UR  - http://hdl.handle.net/10044/1/103629
VL  - 33
ER  -
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