Related papers: The Potential Method For Price-Formation Models
We establish the existence and uniqueness of the equilibrium for a stochastic mean-field game of optimal investment. The analysis covers both finite and infinite time horizons, and the mean-field interaction of the representative company…
The variance gamma model is a widely popular model for option pricing in both academia and industry. In this paper, we provide a new perspective for pricing European style options for the variance gamma model by deriving closed-form…
In this paper, we study a class of degenerate mean field games (MFGs) with state-distribution dependent and unbounded functional diffusion coefficients. With a probabilistic method, we study the well-posedness of the forward-backward…
We present a generative framework for pricing European-style basket options by learning the conditional terminal distribution of the log arithmetic-weighted basket return. A Mixture Density Network (MDN) maps time-varying market inputs…
Game theory serves as a powerful tool for distributed optimization in multi-agent systems in different applications. In this paper we consider multi-agent systems that can be modeled by means of potential games whose potential function…
Here, we consider one-dimensional forward-forward mean-field games (MFGs) with congestion, which were introduced to approximate stationary MFGs. We use methods from the theory of conservation laws to examine the qualitative properties of…
Mean field games (MFGs) offer a versatile framework for modeling large-scale interactive systems across multiple domains. This paper builds upon a previous work, by developing a state-of-the-art unified approach to decode or design the…
The standard solution concept for stochastic games is Markov perfect equilibrium (MPE); however, its computation becomes intractable as the number of players increases. Instead, we consider mean field equilibrium (MFE) that has been…
Entry-exit dynamics are crucial in modeling crowd movement. Here, we present a novel first-order, stationary mean-field game model on a bounded domain that accurately captures these dynamics. The interior dynamics of the system are governed…
Mean-field games (MFG) provide a statistical physics inspired modeling framework for decision making in large-populations of strategic, non-cooperative agents. Mathematically, these systems consist of a forward-backward in time system of…
We use generating functional analysis to study minority-game type market models with generalized strategy valuation updates that control the psychology of agents' actions. The agents' choice between trend following and contrarian trading,…
Empirically derived continuum models of collective behavior among large populations of dynamic agents are a subject of intense study in several fields, including biology, engineering and finance. We formulate and study a mean-field game…
We consider the problem of maximizing portfolio value when an agent has a subjective view on asset value which differs from the traded market price. The agent's trades will have a price impact which affect the price at which the asset is…
An important task in the analysis of multiagent systems is to understand how groups of selfish players can form coalitions, i.e., work together in teams. In this paper, we study the dynamics of coalition formation under bounded rationality.…
This paper revisits the well-studied \emph{optimal stopping} problem but within the \emph{large-population} framework. In particular, two classes of optimal stopping problems are formulated by taking into account the \emph{relative…
Competitive balance model has been proposed as an extension to the balance model to address the conflict of interests in signed networks arXiv:2001.04664 . In this model two different paradigms compete with each other due to the competitive…
In this paper, we consider a finite horizon, non-stationary, mean field games (MFG) with a large population of homogeneous players, sequentially making strategic decisions, where each player is affected by other players through an aggregate…
We discuss a natural game of competition and solve the corresponding mean field game with \emph{common noise} when agents' rewards are \emph{rank dependent}. We use this solution to provide an approximate Nash equilibrium for the finite…
In this paper, we present an alternative perspective on the mean-field LIBOR market model introduced by Desmettre et al. in arXiv:2109.10779. Our novel approach embeds the mean-field model in a classical setup, but retains the crucial…
This paper goes beyond the optimal trading Mean Field Game model introduced by Pierre Cardaliaguet and Charles-Albert Lehalle in [Cardaliaguet, P. and Lehalle, C.-A., Mean field game of controls and an application to trade crowding,…