Lukas-Benedikt Fiechtner

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

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 follo...