Related papers: A random-supply Mean Field Game price model

Buying and selling of data online has increased substantially over the last few years. Several frameworks have already been proposed that study query pricing in theory and practice. The key guiding principle in these works is the notion of…

Motivated by recent progress on pricing in the AI literature, we study marketplaces that contain multiple vendors offering identical or similar products and unit-demand buyers with different valuations on these vendors. The objective of…

We formulate a stochastic game of mean field type where the agents solve optimal stopping problems and interact through the proportion of players that have already stopped. Working with a continuum of agents, typical equilibria become…

This paper analyzes a class of infinite-time-horizon stochastic games with singular controls motivated from the partially reversible problem. It provides an explicit solution for the mean-field game (MFG) and presents sensitivity analysis…

This paper considers the problem faced by a bank which trades in the funds market so as to maintain the reserve requirements and minimize the costs of doing that. We work in a stochastic paradigm and the reserve requirements are determined…

Market making is a fundamental trading problem in which an agent provides liquidity by continually offering to buy and sell a security. The problem is challenging due to inventory risk, the risk of accumulating an unfavourable position and…

We propose a real-time nodal pricing mechanism for cost minimization and voltage control in a distribution network with autonomous distributed energy resources and analyze the resulting market using stochastic game theory. Unlike existing…

We propose a heterogeneous agent market model (HAM) in continuous time. The market is populated by fundamental traders and chartists, who both use simple linear trading rules. Most of the related literature explores stability, price…

Volume imbalance in a limit order book is often considered as a reliable indicator for predicting future price moves. In this work, we seek to analyse the nuances of the relationship between prices and volume imbalance. To this end, we…

Expanding the ideas of the author's paper 'Nonexpansive maps and option pricing theory' (Kibernetica 34:6 (1998), 713-724) we develop a pure game-theoretic approach to option pricing, by-passing stochastic modeling. Risk neutral…

This paper studies a setting in which multiple suppliers compete for a buyer's procurement business. The buyer faces uncertain demand and there is a requirement to reserve capacity in advance of knowing the demand. Each supplier has costs…

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 study pricing and superhedging strategies for game options in an imperfect market with default. We extend the results obtained by Kifer in \cite{Kifer} in the case of a perfect market model to the case of an imperfect market with…

Here, we develop numerical methods for finite-state mean-field games (MFGs) that satisfy a monotonicity condition. MFGs are determined by a system of differential equations with initial and terminal boundary conditions. These non-standard…

This paper considers a mean field game model inspired by crowd motion where agents want to leave a given bounded domain through a part of its boundary in minimal time. Each agent is free to move in any direction, but their maximal speed is…

Mean-field games arise in various fields including economics, engineering, and machine learning. They study strategic decision making in large populations where the individuals interact via certain mean-field quantities. The ground metrics…

This paper presents an application of mean field control to dynamic production optimization. Both noncooperative and cooperative solutions are considered. We first introduce a market of a large number of agents (firms) with sticky prices…

We construct an utility-based dynamic asset pricing model for a limit order market. The price is nonlinear in volume and subject to market impact. We solve an optimal hedging problem under the market impact and derive the dynamics of the…

We study a multi-player one-round game termed Stackelberg Network Pricing Game, in which a leader can set prices for a subset of $m$ priceable edges in a graph. The other edges have a fixed cost. Based on the leader's decision one or more…

Here, we prove the existence of solutions to first-order mean-field games (MFGs) arising in optimal switching. First, we use the penalization method to construct approximate solutions. Then, we prove uniform estimates for the penalized…