11 citations · 14 across the 4 of their papers we have counts for
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q-fin.MF2018
Mean-Field Games with Differing Beliefs for Algorithmic Trading
Philippe Casgrain, Sebastian Jaimungal
Even when confronted with the same data, agents often disagree on a model of the real-world. Here, we address the question of how interacting heterogenous agents, who disagree on w…
q-fin.MF2018
Trading algorithms with learning in latent alpha models
Philippe Casgrain, Sebastian Jaimungal
Alpha signals for statistical arbitrage strategies are often driven by latent factors. This paper analyses how to optimally trade with latent factors that cause prices to jump and…
q-fin.MF2018★ 11 cited
Mean Field Games with Partial Information for Algorithmic Trading
Philippe Casgrain, Sebastian Jaimungal
Financial markets are often driven by latent factors which traders cannot observe. Here, we address an algorithmic trading problem with collections of heterogeneous agents who aim…