Optimal multi-asset trading with linear costs: a mean-field approach

Matt Emschwiller, Benjamin Petit and Jean-Philippe Bouchaud

Quantitative Finance, 2021, vol. 21, issue 2, 185-195

Abstract: A mean field approach to trading that reduces the multi-asset problem to a single-asset problem

Date: 2021
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DOI: 10.1080/14697688.2020.1784987

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