标题： 闭环纳什流动性竞争 显示英文标题

标题： Closed-Loop Nash Competition for Liquidity

摘要： 我们研究一个多人随机微分博弈，其中参与者通过他们对共同交易信号的联合价格影响进行互动。 在这一背景下，我们证明，如果价格影响参数足够小，则存在一个闭环纳什均衡。 与相应的开环纳什均衡相比，参与者的最优交易速率和他们的绩效都趋向于中央计划者解决方案，因为缺乏协调导致的过度交易被减少了。 然而，对于合理的参数值，这种影响的大小是有限的。 显示英文摘要

摘要： We study a multi-player 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. However, the size of this effect is modest for plausible parameter values.