2 papers
q-fin.MF2024
Mean Field Game of High-Frequency Anticipatory Trading
Xue Cheng, Meng Wang, Ziyi Xu
The interactions between a large population of high-frequency traders (HFTs) and a large trader (LT) who executes a certain amount of assets at discrete time points are studied. HF…
q-fin.TR2024
Trading Large Orders in the Presence of Multiple High-Frequency Anticipatory Traders
Ziyi Xu, Xue Cheng
We investigate a market with a normal-speed informed trader (IT) who may employ mixed strategy and multiple anticipatory high-frequency traders (HFTs) who are under different inven…