Machine Learning architectures for price formation models with common noise
Optimization and Control
2023-05-30 v1
Abstract
We propose a machine learning method to solve a mean-field game price formation model with common noise. This involves determining the price of a commodity traded among rational agents subject to a market clearing condition imposed by random supply, which presents additional challenges compared to the deterministic counterpart. Our approach uses a dual recurrent neural network architecture encoding noise dependence and a particle approximation of the mean-field model with a single loss function optimized by adversarial training. We provide a posteriori estimates for convergence and illustrate our method through numerical experiments.
Keywords
Cite
@article{arxiv.2305.17618,
title = {Machine Learning architectures for price formation models with common noise},
author = {Diogo Gomes and Julian Gutierrez and Mathieu Laurière},
journal= {arXiv preprint arXiv:2305.17618},
year = {2023}
}
Comments
6 pages, 3 figures, conference paper