Related papers: A random-supply Mean Field Game price model
A deterministic trading strategy can be regarded as a signal processing element that uses external information and past prices as inputs and incorporates them into future prices. This paper uses a market maker based method of price…
We study a natural combinatorial pricing problem for sequentially arriving buyers with equal budgets. Each buyer is interested in exactly one pair of items and purchases this pair if and only if, upon arrival, both items are still available…
Renewable resources are starting to constitute a growing portion of the total generation mix of the power system. A key difference between renewables and traditional generators is that many renewable resources are managed by individuals,…
This paper explores an idea of demand-supply balance for smart grids in which consumers are expected to play a significant role. The main objective is to motivate the consumer, by maximizing their benefit both as a seller and a buyer, to…
Mean field games are studied by means of the weak formulation of stochastic optimal control. This approach allows the mean field interactions to enter through both state and control processes and take a form which is general enough to…
In this work, we consider a novel inverse problem in mean-field games (MFG). We aim to recover the MFG model parameters that govern the underlying interactions among the population based on a limited set of noisy partial observations of the…
We introduce and study a simple model of a limit order-driven market. Traders in this model can either trade at the market price or place a limit order, i.e. an instruction to buy (sell) a certain amount of the stock if its price falls…
In this paper, we present a mean field game to model the production behaviors of a very large number of producers, whose carbon emissions are regulated by government. Especially, an emission permits trading scheme is considered in our…
This paper analyzes a class of Stackelberg games where different actors compete for shared resources and a central authority tries to balance the demand through a pricing mechanism. Situations like this can for instance occur when fleet…
Automated Market Makers (AMMs) are emerging as a popular decentralised trading platform. In this work, we determine the optimal dynamic fees in a constant function market maker. We find approximate closed-form solutions to the control…
We consider variational Mean Field Games endowed with a constraint on the maximal density of the distribution of players. Minimizers of the variational formulation are equilibria for a game where both the running cost and the final cost of…
Market participants regularly send bid and ask quotes to exchange-operated limit order books. This creates an optimization challenge where their potential profit is determined by their quoted price and how often their orders are…
We propose a pseudo-market solution to resource allocation problems subject to constraints. Our treatment of constraints is general: including bihierarchical constraints due to considerations of diversity in school choice, or scheduling in…
In this paper, we study inverse game theory (resp. inverse multiagent learning) in which the goal is to find parameters of a game's payoff functions for which the expected (resp. sampled) behavior is an equilibrium. We formulate these…
We develop a probabilistic approach to continuous-time finite state mean field games. Based on an alternative description of continuous-time Markov chain by means of semimartingale and the weak formulation of stochastic optimal control, our…
Market price systems constitute a well-understood class of mechanisms that under certain conditions provide effective decentralization of decision making with minimal communication overhead. In a market-oriented programming approach to…
In the ever evolving landscape of decentralized finance automated market makers (AMMs) play a key role: they provide a market place for trading assets in a decentralized manner. For so-called bluechip pairs, arbitrage activity provides a…
We study discrete-time, finite-state mean-field games (MFGs) under model uncertainty, where agents face ambiguity about the state transition probabilities. Each agent maximizes its expected payoff against the worst-case transitions within…
This work is concerned with the application of game theoretic principles to model competition between demand response aggregators for selling excess energy stored in electrochemical storage devices directly to other aggregators in a power…
We consider both $N$-player and mean-field games of optimal portfolio liquidation in which the players are not allowed to change the direction of trading. Players with an initially short position of stocks are only allowed to buy while…