Showing q-fin.TRShow all
2 papers · 1 filter
q-fin.TR2025
Optimal Execution and Macroscopic Market Making
Ivan Guo, Shijia Jin
We propose a stochastic game modelling the strategic interaction between market makers and traders. From the trader's perspective, the conventional exogenous permanent price impact…
q-fin.TR2024
Macroscopic Market Making Games via Multidimensional Decoupling Field
Ivan Guo, Shijia Jin
Building on the macroscopic market making framework as a control problem, this paper investigates its extension to stochastic games. In the context of price competition, each agent…