# A Mean Field Game Of Portfolio Trading And Its Consequences On Perceived Correlations

@article{Lehalle2019AMF, title={A Mean Field Game Of Portfolio Trading And Its Consequences On Perceived Correlations}, author={Charles-Albert Lehalle and Charafeddine Mouzouni}, journal={arXiv: Trading and Market Microstructure}, year={2019} }

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. Second we show…

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