英文标题：
《A Mean Field Game of Portfolio Trading and Its Consequences On Perceived
Correlations》
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作者：
Charles-Albert Lehalle and Charafeddine Mouzouni
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最新提交年份：
2019
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英文摘要：
This paper goes beyond the optimal trading Mean Field Game model introduced by Pierre Cardaliaguet and Charles-Albert Lehalle in [Cardaliaguet, P. and Lehalle, C.-A., Mean field game of controls and an application to trade crowding, Mathematics and Financial Economics (2018)]. It starts by extending it to portfolios of correlated instruments. This leads to several original contributions: first that hedging strategies naturally stem from optimal liquidation schemes on portfolios. Second we show the influence of trading flows on naive estimates of intraday volatility and correlations. Focussing on this important relation, we exhibit a closed form formula expressing standard estimates of correlations as a function of the underlying correlations and the initial imbalance of large orders, via the optimal flows of our mean field game between traders. To support our theoretical findings, we use a real dataset of 176 US stocks from January to December 2014 sampled every 5 minutes to analyze the influence of the daily flows on the observed correlations. Finally, we propose a toy model based approach to calibrate our MFG model on data.
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中文摘要：
本文超越了Pierre Cardaliaguet和Charles Albert Lehalle在[Cardaliaguet，P.和Lehalle，C.-A.，控制的平均场博弈和贸易拥挤的应用，数学和金融经济学（2018）]中提出的最优交易平均场博弈模型。它首先将其扩展到相关工具的投资组合。这导致了几个原始贡献：首先，对冲策略自然源于投资组合的最优清算方案。其次，我们展示了交易流量对日内波动率和相关性的原始估计的影响。围绕这一重要关系，我们展示了一个封闭式公式，通过交易员之间平均场博弈的最优流，将相关性的标准估计表示为基础相关性和大订单初始不平衡的函数。为了支持我们的理论发现，我们使用2014年1月至12月期间每5分钟抽样的176只美国股票的真实数据集，分析每日流量对观察到的相关性的影响。最后，我们提出了一种基于玩具模型的方法来根据数据校准我们的制造模型。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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