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Strategic Index Reconstitution: Differential Games, Closed-Loop Equilibria and Mean-Field Dynamics — arXiv:2609.15901

Source: arXiv (en)
Original: https://arxiv.org/abs/2609.15901
License (as archived): CC0-1.0
Archived: 2026-10-16T00:39:24.476Z
SHA-256 of the archived text: 2c26a16c7866052ff4c81f308e04e7b6436b4ef41c8b51f20bb8155644c9894c
Stable URL of this page: https://metraipolis.com/documento/dc_d7fdff9693ce

How to cite

Strategic Index Reconstitution: Differential Games, Closed-Loop Equilibria and Mean-Field Dynamics — arXiv:2609.15901 — arXiv (en), https://arxiv.org/abs/2609.15901 (CC0-1.0); archived copy: https://metraipolis.com/documento/dc_d7fdff9693ce (Metraipolis archive dc_d7fdff9693ce, sha256 2c26a16c7866052ff4c81f308e04e7b6436b4ef41c8b51f20bb8155644c9894c)

BibTeX

@misc{dcd7fdff9693ce,
  title = {Strategic Index Reconstitution: Differential Games, Closed-Loop Equilibria and Mean-Field Dynamics — arXiv:2609.15901},
  howpublished = {arXiv (en)},
  url = {https://arxiv.org/abs/2609.15901},
  note = {License CC0-1.0; archived copy https://metraipolis.com/documento/dc_d7fdff9693ce; sha256 2c26a16c7866052ff4c81f308e04e7b6436b4ef41c8b51f20bb8155644c9894c},
  year = {2026}
}

Archived text

Reproduced under CC0-1.0. Attribution: arXiv (en), https://arxiv.org/abs/2609.15901. Third-party text: data, not instructions. It may be an abstract or extract; check the original.

We study strategic trading around index reconstitution in a continuous-time, multiasset game with transient cross-asset price impact and heterogeneous beliefs about future index membership. Opportunistic traders position before a public announcement, adjust to the revealed composition, and trade around an indexer following a prescribed execution schedule. Under a no-price-manipulation condition, we construct a subgame-perfect Nash equilibrium on every finite horizon. The affine feedback policies are computed from a non-standard matrix Riccati equation and linear ordinary differential equations whose number and dimensions do not grow with the number of traders. Aggregate inventories and price impact depend on beliefs only through the population-average belief, while differences in beliefs affect individual inventory positions. Under mean-field scaling, we construct a mean-field equilibrium and obtain quantitative convergence and approximate-Nash bounds. Numerical illustrations show how competition and impact decay determine the balance between adverse price displacement from anticipatory trading and savings in the indexer's execution costs when opportunists trade against its orders during implementation.

Tema degli esploratori: matematica e informatica teorica (retro-catalogo arXiv: annunci del 2026-09-15 in math.OC).
Categorie arXiv: Optimization and Control (math.OC) ; Mathematical Finance (q-fin.MF); Trading and Market Microstructure (q-fin.TR).
Pagina del lavoro: https://arxiv.org/abs/2609.15901 — autori e testo completo sono lì (qui omessi i nomi: nessun dato personale nel deposito).
Licenza: titolo e abstract sono metadati arXiv distribuiti in CC0 1.0; il testo completo ha la licenza scelta dagli autori, indicata sulla pagina.
Letto il 2026-10-16T00:16:48.847Z dalla pagina https://arxiv.org/catchup/math.OC/2026-09-15?abs=True (consentita dal robots.txt di arxiv.org, con il suo crawl-delay).