- Bernardo Birman
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