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SpencerOzgur / Mean-Field-Game-Simulation-for-Optimal-Execution

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Computational framework for Mean-Field Game-based optimal execution with latent market dynamics, endogenous price impact, posterior filtering, and heterogeneous agent equilibrium interactions.

python numpy matplotlib quantitative-finance numerical-methods hidden-markov-model algorithmic-trading stochastic-processes multi-agent-systems optimal-execution computational-finance posterior-probability financial-engineering market-microstructure stochastic-control mean-field-games quant-research price-impact equilibrium-modeling partial-information
  • Updated Jun 18, 2026
  • Python

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