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In this paper we study variations of the standard Hotelling-Downs model of spatial competition, where each agent attracts the clients in a restricted neighborhood, each client randomly picks one attractive agent for service. Two utility…
In the present work we introduce a novel multi-agent model with the aim to reproduce the dynamics of a double auction market at microscopic time scale through a faithful simulation of the matching mechanics in the limit order book. The…
We study a game with \emph{strategic} vendors who own multiple items and a single buyer with a submodular valuation function. The goal of the vendors is to maximize their revenue via pricing of the items, given that the buyer will buy the…
We study mean field portfolio games with random market parameters, where each player is concerned with not only her own wealth but also relative performance to her competitors. We use the martingale optimality principle approach to…
In this paper, we study which data can be induced by a correlated equilibrium given a known finite simultaneous move game. We assume that an analyst has access to the frequency of each agent's actions but does not have access to the…
A supermarket game is considered with $N$ FCFS queues with unit exponential service rate and global Poisson arrival rate $N \lambda$. Upon arrival each customer chooses a number of queues to be sampled uniformly at random and joins the…
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 consider a class of dynamic collective choice models with social interactions, whereby a large number of non-uniform agents have to individually settle on one of multiple discrete alternative choices, with the relevance of their would-be…
Many large-scale platforms and networked control systems have a centralized decision maker interacting with a massive population of agents under strict observability constraints. Motivated by such applications, we study a cooperative Markov…
We study a stochastic optimal control problem motivated by the operation of a large ensemble of residential storage devices coordinated by an energy aggregator. The aggregator remunerates prosumers in exchange for direct control of their…
This paper studies the connections between mean-field games and the social welfare optimization problems. We consider a mean field game in functional spaces with a large population of agents, each of which seeks to minimize an individual…
Within a common arbitrage-free semimartingale financial market we consider the problem of determining all Nash equilibrium investment strategies for $n$ agents who try to maximize the expected utility of their relative wealth. The utility…
We consider the process of bidding by electricity suppliers in a day-ahead market context where each supplier bids a linear non-decreasing function of her generating capacity with the goal of maximizing her individual profit given other…
We study a dynamic asset pricing problem in which a representative agent is ambiguous about the aggregate endowment growth rate and trades a risky stock, human capital, and a risk-free asset to maximize her preference value of consumption…
In this paper, we investigate the interaction of two populations with a large number of indistinguishable agents. The problem consists in two levels: the interaction between agents of a same population, and the interaction between the two…
We consider a financial market model which consists of a financial asset and a large number of interacting agents classified into many types. Different types of agents are heterogeneous in their price expectations. Each agent can change its…
Here, we develop a deep learning algorithm for solving Principal-Agent (PA) mean field games with market-clearing conditions -- a class of problems that have thus far not been studied and one that poses difficulties for standard numerical…
We consider price competition among multiple sellers over a selling horizon of $T$ periods. In each period, sellers simultaneously offer their prices (which are made public) and subsequently observe their respective demand (not made…
This paper considers decentralized control and optimization methodologies for large populations of systems, consisting of several agents with different individual behaviors, constraints and interests, and affected by the aggregate behavior…
Recent regulation on intraday electricity markets has led to the development of shared order books with the intention to foster competition and increase market liquidity. In this paper, we address the question of the efficiency of such…