Related papers: A random-supply Mean Field Game price model
We investigate how asymmetric information affects equilibrium price formation in an economy with many interacting agents. Motivated by a finite-player model with two populations of asymmetrically informed agents, we study its mean-field…
We formulate an equilibrium model of intraday trading in electricity markets. Agents face balancing constraints between their customers consumption plus intraday sales and their production plus intraday purchases. They have continuously…
The price of anarchy, originally introduced to quantify the inefficiency of selfish behavior in routing games, is extended to mean field games. The price of anarchy is defined as the ratio of a worst case social cost computed for a mean…
We study the dynamic pricing of discrete goods over a finite selling horizon. One way to capture both the elastic and stochastic reaction of purchases to price is through a model where sellers control the intensity of a counting process,…
In this paper, we introduce and study a class of games called price-coupling games that arise in many scenarios, especially in the electricity industry. In a price-coupling game, there is a part of the objective function of a player which…
We investigate stochastic differential games of optimal trading comprising a finite population. There are market frictions in the present framework, which take the form of stochastic permanent and temporary price impacts. Moreover,…
We study a mean field game problem arising from the production control for multiple firms with price stickiness in the commodity market. The price dynamics for each firm is described as a (controlled) jump-diffusion process with mean-field…
We propose a term structure power price model that, in contrast to widely accepted no-arbitrage based approaches, accounts for the non-storable nature of power. It belongs to a class of equilibrium game theoretic models with players divided…
The problem of market clearing is to set a price for an item such that quantity demanded equals quantity supplied. In this work, we cast the problem of predicting clearing prices into a learning framework and use the resulting models to…
Agents attempt to maximize expected profits earned by selling multiple units of a perishable product where their revenue streams are affected by the prices they quote as well as the distribution of other prices quoted in the market by other…
We consider N-player and mean field games in continuous time over a finite horizon, where the position of each agent belongs to {-1,1}. If there is uniqueness of mean field game solutions, e.g. under monotonicity assumptions, then the…
This paper addresses the decentralized coordinated charging problem for a large population of battery storage agents (e.g. residential batteries, electrical vehicles, charging station batteries) using Mean Field Game (MFG). Agents are…
We investigate a mean field game model for the production of exhaustible resources. In this model, firms produce comparable goods, strategically set their production rate in order to maximise profit, and leave the market as soon as they…
We develop a model based on mean-field games of competitive firms producing similar goods according to a standard AK model with a depreciation rate of capital generating pollution as a byproduct. Our analysis focuses on the widely-used…
Most products are produced and sold by supply chain networks, where an interconnected network of producers and intermediaries set prices to maximize their profits. I show that there exists a unique equilibrium in a price-setting game on a…
We consider the problem of supply and demand balancing that is stated as a minimization problem for the total expected revenue function describing the behavior of both consumers and suppliers. In the considered market model we assume that…
The energy transition is expected to significantly increase the share of renewable energy sources whose production is intermittent in the electricity mix. Apart from key benefits, this development has the major drawback of generating a…
We present a model of price formation in an inelastic market whose dynamics are partially driven by both money flows and their impact on asset prices. The money flow to the market is viewed as an investment policy of outside investors. For…
We consider continuous-time mean-field stochastic games with strategic complementarities. The interaction between the representative productive firm and the population of rivals comes through the price at which the produced good is sold and…
We propose a model for a market which structure is of the tree form. Each branch of the tree is composed by identical firms, its root (the branch of the first level) is formed by the firms producing raw material, and the branches of the…