Optimal execution problem: a mean field game and fictitious play study
Autor(a) principal: | |
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Data de Publicação: | 2020 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | https://hdl.handle.net/10438/29673 |
Resumo: | In this work we present the main ideas of the optimal execution problem and a couple of different approaches for its modelling. We focus on the Mean-Field Game approach, and observe how restrictive it can be as we only can obtain a explicit solution for the simplest case. We model a learning algorithm through the concept of the fictitious play, and check that our strategy generated by the model outperforms some different, naive, strategies. |
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Birman, BernardoEscolas::EMApSilveira Junior, David Evangelista daSouza, Max Oliveira deSilva, Moacyr Alvim Horta Barbosa daSaporito, Yuri Fahham2020-09-17T10:33:11Z2020-09-17T10:33:11Z2020-06-26https://hdl.handle.net/10438/29673In this work we present the main ideas of the optimal execution problem and a couple of different approaches for its modelling. We focus on the Mean-Field Game approach, and observe how restrictive it can be as we only can obtain a explicit solution for the simplest case. We model a learning algorithm through the concept of the fictitious play, and check that our strategy generated by the model outperforms some different, naive, strategies.Neste trabalho apresentamos as ideia principais do problema de execução ótima e algumas abordagens para sua modelagem. Nós focamos na modelagem de Mean-Field Game e observamos quão restritiva ela pode ser, por só obtermos uma solução explícita para o caso mais simples. Nós modelamos um algoritmo de aprendizagem através do conceito de fictitious play e checamos que a estratégia gerada pelo nosso modelo apresenta uma performance superior a estratégias mais ingênuas.engMean Field GameMFGOptimal controlOptimal stochastic controlOptimal liquidationOptimal executionFictitious playMatemáticaTeoria de campo médioTeoria do controleTeoria do controle estocásticoTeoria dos jogos - Modelos matemáticosOptimal execution problem: a mean field game and fictitious play studyinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesis2020-06-26reponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessLICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/de93038d-e676-42af-b032-159171747170/downloaddfb340242cced38a6cca06c627998fa1MD52TEXTOptimal Execution Problem - a Mean Field Game and Fictitious Play Study - Bernardo Birman.pdf.txtOptimal Execution Problem - a Mean Field Game and Fictitious Play Study - Bernardo Birman.pdf.txtExtracted texttext/plain90831https://repositorio.fgv.br/bitstreams/7a83dfb5-5175-403d-b273-8bdd5f018ad7/downloadf2de2510700e61142e98b06bafa95280MD55THUMBNAILOptimal Execution Problem - a Mean Field Game and Fictitious Play Study - Bernardo Birman.pdf.jpgOptimal Execution Problem - a Mean Field Game and Fictitious Play Study - Bernardo Birman.pdf.jpgGenerated Thumbnailimage/jpeg2533https://repositorio.fgv.br/bitstreams/8ad3287c-8019-4ff9-9f55-ce450790412e/download4ea0c77e4091e2c3c599afa9227aca32MD56ORIGINALOptimal Execution Problem - a Mean Field Game and Fictitious Play Study - Bernardo Birman.pdfOptimal Execution Problem - a Mean Field Game and Fictitious Play Study - Bernardo Birman.pdfPDFapplication/pdf2829955https://repositorio.fgv.br/bitstreams/fe15452a-d737-4ad3-89d4-62a72b387b30/downloadefc66002f8a25c5b9a4a7daf967bdb8dMD5110438/296732023-11-25 12:39:44.776open.accessoai:repositorio.fgv.br:10438/29673https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-25T12:39:44Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas 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|
dc.title.eng.fl_str_mv |
Optimal execution problem: a mean field game and fictitious play study |
title |
Optimal execution problem: a mean field game and fictitious play study |
spellingShingle |
Optimal execution problem: a mean field game and fictitious play study Birman, Bernardo Mean Field Game MFG Optimal control Optimal stochastic control Optimal liquidation Optimal execution Fictitious play Matemática Teoria de campo médio Teoria do controle Teoria do controle estocástico Teoria dos jogos - Modelos matemáticos |
title_short |
Optimal execution problem: a mean field game and fictitious play study |
title_full |
Optimal execution problem: a mean field game and fictitious play study |
title_fullStr |
Optimal execution problem: a mean field game and fictitious play study |
title_full_unstemmed |
Optimal execution problem: a mean field game and fictitious play study |
title_sort |
Optimal execution problem: a mean field game and fictitious play study |
author |
Birman, Bernardo |
author_facet |
Birman, Bernardo |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EMAp |
dc.contributor.member.none.fl_str_mv |
Silveira Junior, David Evangelista da Souza, Max Oliveira de |
dc.contributor.author.fl_str_mv |
Birman, Bernardo |
dc.contributor.advisor1.fl_str_mv |
Silva, Moacyr Alvim Horta Barbosa da Saporito, Yuri Fahham |
contributor_str_mv |
Silva, Moacyr Alvim Horta Barbosa da Saporito, Yuri Fahham |
dc.subject.por.fl_str_mv |
Mean Field Game MFG Optimal control Optimal stochastic control Optimal liquidation Optimal execution Fictitious play |
topic |
Mean Field Game MFG Optimal control Optimal stochastic control Optimal liquidation Optimal execution Fictitious play Matemática Teoria de campo médio Teoria do controle Teoria do controle estocástico Teoria dos jogos - Modelos matemáticos |
dc.subject.area.por.fl_str_mv |
Matemática |
dc.subject.bibliodata.por.fl_str_mv |
Teoria de campo médio Teoria do controle Teoria do controle estocástico Teoria dos jogos - Modelos matemáticos |
description |
In this work we present the main ideas of the optimal execution problem and a couple of different approaches for its modelling. We focus on the Mean-Field Game approach, and observe how restrictive it can be as we only can obtain a explicit solution for the simplest case. We model a learning algorithm through the concept of the fictitious play, and check that our strategy generated by the model outperforms some different, naive, strategies. |
publishDate |
2020 |
dc.date.accessioned.fl_str_mv |
2020-09-17T10:33:11Z |
dc.date.available.fl_str_mv |
2020-09-17T10:33:11Z |
dc.date.issued.fl_str_mv |
2020-06-26 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://hdl.handle.net/10438/29673 |
url |
https://hdl.handle.net/10438/29673 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
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FGV |
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FGV |
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collection |
Repositório Institucional do FGV (FGV Repositório Digital) |
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