Related papers: Multiple equilibria in mean-field game models for …

Financial markets are often driven by latent factors which traders cannot observe. Here, we address an algorithmic trading problem with collections of heterogeneous agents who aim to perform optimal execution or statistical arbitrage, where…

We formulate and solve a multi-player stochastic differential game between financial agents who seek to cost-efficiently liquidate their position in a risky asset in the presence of jointly aggregated transient price impact, along with…

We establish the existence and uniqueness of distributed equilibria to possibly nonsymmetric $N$ player differential games with interactions through controls under displacement semimonotonicity assumptions. Surprisingly, the nonseparable…

Motivated by recent empirical findings on the periodic phenomenon of aggregated market volumes in equity markets, we aim to understand the causes and consequences of periodic trading activities through a game-theoretic perspective,…

Evolutionary game theory has been a successful tool to combine classical game theory with learning-dynamical descriptions in multiagent systems. Provided some symmetric structures of interacting players, many studies have been focused on…

Finding equilibrium points in continuous minmax games has become a key problem within machine learning, in part due to its connection to the training of generative adversarial networks and reinforcement learning. Because of existence and…

The majority game, modelling a system of heterogeneous agents trying to behave in a similar way, is introduced and studied using methods of statistical mechanics. The stationary states of the game are given by the (local) minima of a…

We consider a general class of finite-player stochastic games with mean-field interaction, in which the linear-quadratic cost functional includes linear operators acting on controls in $L^2$. We propose a novel approach for deriving the…

We study a mean field game in continuous time over a finite horizon, T, where the state of each agent is binary and where players base their strategic decisions on two, possibly competing, factors: the willingness to align with the majority…

This paper develops a mathematical framework for building a position in a stock over a fixed period of time while in competition with one or more other traders doing the same thing. We develop a game-theoretic framework that takes place in…

In this work, we study an equilibrium-based continuous asset pricing problem which seeks to form a price process endogenously by requiring it to balance the flow of sales-and-purchase orders in the exchange market, where a large number of…

We examine how monetary shocks spread throughout an economic model characterized by sticky prices and general equilibrium, where the pricing strategies of firms are interlinked, fostering a mutually beneficial relationship. In this dynamic…

Synthesis of finite-state controllers from high-level specifications in multi-agent systems can be reduced to solving multi-player concurrent games over finite graphs. The complexity of solving such games with qualitative objectives for…

In this paper we consider symmetric games where a large number of players can be in any one of d states. We derive a limiting mean field model and characterize its main properties. This mean field limit is a system of coupled ordinary…

We develop a probabilistic approach to continuous-time finite state mean field games. Based on an alternative description of continuous-time Markov chain by means of semimartingale and the weak formulation of stochastic optimal control, our…

This paper discusses a special type of multi-user communication scenario, in which users' utilities are linearly impacted by their competitors' actions. First, we explicitly characterize the Nash equilibrium and Pareto boundary of the…

This paper studies the connection between a class of mean-field games and a social welfare optimization problem. We consider a mean-field game in function spaces with a large population of agents, and each agent seeks to minimize an…

We investigate the canonical equilibrium of systems with long-range forces in competition. These forces create a modulation in the interaction potential and modulated phases appear at the system scale. The structure of these phases…

This paper extends the theoretical framework introduced in Liquidity Pools as Mean Field Games: A New Framework, where the interactions among traders in a constant product market-making protocol were modeled using mean field games (MFG). In…

This paper develops a mean field game framework for dynamic two-sided matching markets, extending existing matching theory by integrating micro-macro dynamics in two-sided environments. Unlike traditional matching models focusing on static…