# A Mean-Field Control Problem of Optimal Portfolio Liquidation with Semimartingale Strategies

@inproceedings{Fu2022AMC, title={A Mean-Field Control Problem of Optimal Portfolio Liquidation with Semimartingale Strategies}, author={Guanxing Fu and Ulrich Horst and Xiaonyu Xia}, year={2022} }

We consider a mean-ﬁeld control problem with c`adl`ag semimartingale strategies arising in portfolio liquidation models with transient market impact and self-exciting order ﬂow. We show that the value function depends on the state process only through its law, and that it is of linear-quadratic form and that its coeﬃcients satisfy a coupled system of non-standard Riccati-type equations. The Riccati equations are obtained heuristically by passing to the continuous-time limit from a sequence of…

## One Citation

### Self-exciting price impact via negative resilience in stochastic order books

- EconomicsAnnals of Operations Research
- 2022

Most of the existing literature on optimal trade execution in limit order book models assumes that resilience is positive. But negative resilience also has a natural interpretation, as it models…

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