Optimal Execution with Identity Optionality

René Carmona, Claire Zeng

Research output: Contribution to journalArticlepeer-review


This paper investigates the impact of anonymous trading on the agents' strategy in an optimal execution framework. It mainly explores the specificity of order attribution on the Toronto Stock Exchange, where brokers can choose to either trade with their own identity or under a generic anonymous code that is common to all the brokers. We formulate a stochastic differential game for the optimal execution problem of a population of N brokers and incorporate permanent and temporary price impacts for both the identity-revealed and anonymous trading processes. We then formulate the limiting mean-field game of controls with common noise and obtain a solution in closed-form via the probablistic approach for the Almgren-Chris price impact framework. Finally, we perform a sensitivity analysis to explore the impact of the model parameters on the optimal strategy.

Original languageEnglish (US)
Pages (from-to)261-287
Number of pages27
JournalApplied Mathematical Finance
Issue number4
StatePublished - 2022

All Science Journal Classification (ASJC) codes

  • Finance
  • Applied Mathematics


  • Optimal execution
  • anonymous trading
  • conditional propagation of chaos
  • mean field game


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