Related papers: The Potential Method For Price-Formation Models
This work builds on the theoretical frameworks presented in "Liquidity pools as mean field games: A new framework" and "Liquidity pools as mean field games with transaction costs" by the same author, where the strategic interactions among…
Mean field games (MFG) are dynamic games with infinitely many infinitesimal agents. In this context, we study the efficiency of Nash MFG equilibria: Namely, we compare the social cost of a MFG equilibrium with the minimal cost a global…
We introduce an agent-based model, in which agents set their prices to maximize profit. At steady state the market self-organizes into three groups: excess producers, consumers and balanced agents, with prices determined by their own…
Information in the form of data, which can be stored and transferred between users, can be viewed as an intangible commodity, which can be traded in exchange for money. Determining the fair price at which a string of data should be traded…
In this paper, we propose and study an inverse boundary problem for the mean field games (MFGs) governed by the first-order master equation in a bounded domain. We establish the unique identifiability result by showing that the running cost…
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…
For two classes of Mean Field Game systems we study the convergence of solutions as the interest rate in the cost functional becomes very large, modeling agents caring only about a very short time-horizon, and the cost of the control…
Mean Field Games (MFGs) can potentially scale multi-agent systems to extremely large populations of agents. Yet, most of the literature assumes a single initial distribution for the agents, which limits the practical applications of MFGs.…
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…
The transfer fees of sports players have become astronomical. This is because bringing players of great future value to the club is essential for their survival. We present a case study on the key factors affecting the world's top soccer…
We analyze a system of partial differential equations that model a potential mean field game of controls, briefly MFGC. Such a game describes the interaction of infinitely many negligible players competing to optimize a personal value…
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…
Traditional solvable game theory and mean-field-type game theory (risk-aware games) predominantly focus on quadratic costs due to their analytical tractability. Nevertheless, they often fail to capture critical non-linearities inherent in…
In this paper, we address linear-quadratic-Gaussian (LQG) risk-sensitive mean field games (MFGs) with common noise. In this framework agents are exposed to a common noise and aim to minimize an exponential cost functional that reflects…
Mean-field games (MFGs) are models for large populations of competing rational agents that seek to optimize a suitable functional. In the case of congestion, this functional takes into account the difficulty of moving in high-density areas.…
We consider an energy system with $n$ consumers who are linked by a Demand Side Management (DSM) contract, i.e. they agreed to diminish, at random times, their aggregated power consumption by a predefined volume during a predefined…
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.…
Mean field game facilitates analyzing multi-armed bandit (MAB) for a large number of agents by approximating their interactions with an average effect. Existing mean field models for multi-agent MAB mostly assume a binary reward function,…
Mean field games models describing the limit of a large class of stochastic differential games, as the number of players goes to $+\infty$, have been introduced by J.-M. Lasry and P.-L. Lions. We use a change of variables to transform the…
In a regular mean field game (MFG), the agents are assumed to be insignificant, they do not realize their effect on the population level and this may result in a phenomenon coined as the Tragedy of the Commons by the economists. However, in…