A Mean Field Game of Portfolio Trading and Its Consequences On Perceived Correlations

Understand

This paper goes beyond the optimal trading Mean Field Game model introduced by Pierre Cardaliaguet and Charles-Albert Lehalle in [Cardaliaguet, P.

• and Lehalle, C.-A., Mean field game of controls and an application to trade crowding, Mathematics and Financial Economics (2018)].
• It starts by extending it to portfolios of correlated instruments.
• This leads to several original contributions: first that hedging strategies naturally stem from optimal liquidation schemes on portfolios.