Related papers: A mean-field game price model with noise

In this paper we further extend the optimal bubble riding model proposed by Tangpi and Wang by allowing for price-dependent entry times. Agents are characterized by their individual entry threshold that represents their belief in the…

We design three continuous--time models in finite horizon of a commodity price, whose dynamics can be affected by the actions of a representative risk--neutral producer and a representative risk--neutral trader. Depending on the model, the…

Mainstream financial econometrics methods are based on models well tuned to replicate price dynamics, but with little to no economic justification. In particular, the randomness in these models is assumed to result from a combination of…

We consider a mean-field game model where the cost functions depend on a fixed parameter, called \textit{state}, which is unknown to players. Players learn about the state from a a stream of private signals they receive throughout the game.…

The goal of the paper is to introduce a set of problems which we call mean field games of timing. We motivate the formulation by a dynamic model of bank run in a continuous-time setting. We briefly review the economic and game theoretic…

We propose a simple stochastic model of market behavior. Dividing market participants into two groups: trend-followers and fundamentalists, we derive the general form of a stochastic equation of market dynamics. The model has two…

Based on empirical market data, a stochastic volatility model is proposed with volatility driven by fractional noise. The model is used to obtain a risk-neutrality option pricing formula and an option pricing equation.

This paper studies an asset pricing model in a partially observable market with a large number of heterogeneous agents using the mean field game theory. In this model, we assume that investors can only observe stock prices and must infer…

In this paper, we study a class of first-order mean-field games (MFGs) that model price formation. Using Poincar{\'e} Lemma, we eliminate one of the equations and obtain a variational problem for a single function. This variational problem…

In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…

The dynamics of minority games with agents trading on different time scales is studied via dynamical mean-field theory. We analyze the case where the agents' decision-making process is deterministic and its stochastic generalization with…

In this work, we develop an equilibrium model for price formation of securities in a market composed of two populations of different types: the first one consists of cooperative agents, while the other one consists of non-cooperative…

We introduce a stochastic price model where, together with a random component, a moving average of logarithmic prices contributes to the price formation. Our model is tested against financial datasets, showing an extremely good agreement…

In a market with transaction costs, the price of a derivative can be expressed in terms of (preconsistent) price systems (after Kusuoka (1995)). In this paper, we consider a market with binomial model for stock price and discuss how to…

We consider Cournot mean field games of controls, a model originally developed for the production of an exhaustible resource by a continuum of producers. We prove uniqueness of the solution under general assumptions on the price function.…

This paper considers mean field games in a multi-agent Markov decision process (MDP) framework. Each player has a continuum state and binary action. By active control, a player can bring its state to a resetting point. All players are…

We consider a tick-by-tick model of price formation, in which buy and sell orders are modeled as self-exciting point processes (Hawkes process), similar to the one in [Bacry, Delattre, Hoffmann, Muzy, Modelling microstructure noise with…

In many stochastic games stemming from financial models, the environment evolves with latent factors and there may be common noise across agents' states. Two classic examples are: (i) multi-agent trading on electronic exchanges, and (ii)…

This article considers a mean field game model inspired by crowd motion models in which agents aim at reaching a given target set and wish to minimize a cost consisting of an individual running cost, an individual cost depending on the…

This paper studies the optimal investment behavior of renewable electricity producers in a competitive market, where both prices and installation costs are influenced by aggregate industry activity. We model the resulting crowding effects…