Optimal execution problem: A Mean Field Game and fictitious play study


  • Bernardo Birman


26/06/2020 - 16:00


Via Zoom


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.

*Texto enviado pelo aluno. 

Membros da banca: 

  • Moacyr Alvim Horta Barbosa da Silva (orientador) - FGV EMAp
  • Yuri Fahham Saporito (co-orientador) - FGV EMAp
  • David Evangelista da Silveira Junior - FGV EMAp
  • Max Oliveira de Souza - UFF