Related papers: The Potential Method For Price-Formation Models
We present APAC-Net, an alternating population and agent control neural network for solving stochastic mean field games (MFGs). Our algorithm is geared toward high-dimensional instances of MFGs that are beyond reach with existing solution…
We present a method enabling a large number of agents to learn how to flock, which is a natural behavior observed in large populations of animals. This problem has drawn a lot of interest but requires many structural assumptions and is…
This paper presents recent results from Mean Field Game theory underlying the introduction of common noise that imposes to incorporate the distribution of the agents as a state variable. Starting from the usual mean field games equations…
A network model of manufacturing system is considered. This is a network formation game where players are participants of a production process and their actions are their's requests for interaction. Production networks are formed as a…
This paper proposes a novel Mean-Field Game (MFG) framework for large-scale attacker-defender systems aimed at protecting one or multiple High-Value Units (HVUs). Motivated by classical agent-wise attrition models, we introduce a…
In this paper, we introduce discrete-time linear mean-field games subject to an infinite-horizon discounted-cost optimality criterion. The state space of a generic agent is a compact Borel space. At every time, each agent is randomly…
We consider a class of deterministic mean field games, where the state associated with each player evolves according to an ODE which is linear w.r.t. the control. Existence, uniqueness, and stability of solutions are studied from the point…
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…
An iterative finite difference scheme for mean field games (MFGs) is proposed. The target MFGs are derived from control problems for multidimensional systems with advection terms. For such MFGs, linearization using the Cole-Hopf…
This paper introduces an agent-based artificial financial market in which heterogeneous agents trade one single asset through a realistic trading mechanism for price formation. Agents are initially endowed with a finite amount of cash and a…
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 use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties…
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…
Mean-field games (MFGs) study the Nash equilibrium of systems with a continuum of interacting agents, which can be formulated as the fixed-point of optimal control problems. They provide a unified framework for a variety of applications,…
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…
We study an equilibrium-based continuous asset pricing problem for the securities market. In the previous work [16], we have shown that a certain price process, which is given by the solution to a forward backward stochastic differential…
This paper studies an inverse problem for a multipopulation mean field game (MFG) system where the objective is to reconstruct the running and terminal cost functions of the system that couples the dynamics of different populations. We…
Mean-field game theory relies on approximating games that are intractable to model due to a very large to infinite population of players. While these kinds of games can be solved analytically via the associated system of partial…
We developed an artificial intelligence approach to predict the transfer fee of a football player. This model can help clubs make better decisions about which players to buy and sell, which can lead to improved performance and increased…
We propose a simple statistical-physics-inspired model for the effect of intrinsic fluctuations on supply and demand in markets. The model consists of agents that trade in two types of goods of which the total number is separately…