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Optimal Transport and Information Asymmetry Trading Models
Lu Vy, UM
We present two extensions of the Kyle-Back model and solve them with tools from optimal transport. In the first, the informed trader...
On the mean-field limit of diffusive games through the master equation: extreme value analysis
Nikolaos Kolliopoulos/ UM
We consider an N-player game where the players control the drifts of their diffusive states which have no interaction in the noise terms....
