AbstractWe consider a novel class of portfolio liquidation games with market dropâout (âabsorptionâ). More precisely, we consider meanâfield and finite player liquidation games where a player drops out of the market when her position hits zero. In particular, roundâtrips are not admissible. This can be viewed as a no statistical arbitrage condition. In a model with only sellers, we prove that the absorption condition is equivalent to a short selling constraint. We prove that equilibria (both in the meanâfield and the finite player game) are given as solutions to a nonlinear higherâorder integral equation with endogenous terminal condition. We prove the existence of a unique solution to the integral equation from which we obtain the existence of a unique equilibrium in the MFG and the existence of a unique equilibrium in the Nâplayer game. We establish the convergence of the equilibria in the finite player games to the obtained meanâfield equilibrium and illustrate the impact of the dropâout constraint on equilibrium trading rates.