论文标题
与战略交易者的卑鄙领域集合游戏
A mean-field game of market-making against strategic traders
论文作者
论文摘要
我们设计了一个营销模型àlaavellaneda-Stoikov，在该模型中，市场企业在战略上行动，从某种意义上说，他们基于外源交易信号设计了自己的交易策略。营销商根据平均市场的行为选择了她的报价，该行为是通过平均场地互动来模型的。我们得出了耦合的HJB-Fokker-Planck系统的解决方案，市盈系统的最佳控制和代表性的市场企业。这种方法具有足够的灵活性，可以为市场企业的不同行为纳入不同的行为，并考虑其策略对价格过程的影响。
We design a market-making model à la Avellaneda-Stoikov 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' behaviour, 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 behaviours for the market-takers and takes into account the impact of their strategies on the price process.
