Portfolio Liquidation Games with Self-Exciting Order Flow

Guanxing Fu, Ulrich Horst and Xiaonyu Xia
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Guanxing Fu: The Hong Kong Polytechnic University
Ulrich Horst: HU Berlin
Xiaonyu Xia: Wenzhou University

No 327, Rationality and Competition Discussion Paper Series from CRC TRR 190 Rationality and Competition

Abstract: We analyze novel portfolio liquidation games with self-exciting order flow. Both the N-player game and the mean-field game are considered. We assume that players’ trading activities have an impact on the dynamics of future market order arrivals thereby generating an additional transient price impact. Given the strategies of her competitors each player solves a mean-field control problem. We characterize open-loop Nash equilibria in both games in terms of a novel mean-field FBSDE system with unknown terminal condition. Under a weak interaction condition we prove that the FBSDE systems have unique solutions. Using a novel su

Keywords: stochastic games; mean-field games; portfolio liquidation; Hawkes process; singular terminal value (search for similar items in EconPapers)
JEL-codes: E20 H30 (search for similar items in EconPapers)
Date: 2022-05-05
New Economics Papers: this item is included in nep-gth
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Citations: View citations in EconPapers (8)

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