Abstract:We study a multiplayer stochastic differential game, where agents interact through their joint price impact on an asset that they trade to exploit a common trading signal. In this context, we prove that a closed‐loop Nash equilibrium exists if the price impact parameter is small enough. Compared to the corresponding open‐loop Nash equilibrium, both the agents' optimal trading rates and their performance move towards the central‐planner solution, in that excessive trading due to lack of coordination is reduced.… Show more
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.