Related papers: A New Framework for Modelling Liquidity Pools as M…
This paper presents a Mean Field Game (MFG) model for maritime traffic flow, treating the navigation of ships between seaports as a large-scale stochastic control problem. The MFG framework enables the modeling of agents at a microscopic…
We develop an axiomatic theory for Automated Market Makers (AMMs) in local energy sharing markets and analyze the Markov Perfect Equilibrium of the resulting economy with a Mean-Field Game. In this game, heterogeneous prosumers solve a…
Mean Field Game (MFG) models implicitly assume "rational expectations", meaning that the heterogeneous agents being modeled correctly know all relevant transition probabilities for the complex system they inhabit. When there is common…
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…
We present a new combined \textit{mean field control game} (MFCG) problem which can be interpreted as a competitive game between collaborating groups and its solution as a Nash equilibrium between groups. Players coordinate their strategies…
This paper introduces a framework of Constrained Mean-Field Games (CMFGs), where each agent solves a constrained Markov decision process (CMDP). This formulation captures scenarios in which agents' strategies are subject to feasibility,…
In this paper, we propose a mean-field game model for the price formation of a commodity whose production is subjected to random fluctuations. The model generalizes existing deterministic price formation models. Agents seek to minimize…
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…
In this paper, we present a model of a game among teams. Each team consists of a homogeneous population of agents. Agents within a team are cooperative while the teams compete with other teams. The dynamics and the costs are coupled through…
This paper studies the mean field game (MFG) problem arising from a large population competition in fund management, featuring a new type of relative performance via the benchmark tracking. In the $n$-player model, each agent aims to…
We consider a class of mean field games in which the agents interact through both their states and controls, and we focus on situations in which a generic agent tries to adjust her speed (control) to an average speed (the average is made in…
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…
The mean field games (MFG) paradigm was introduced to provide tractable approximations of games involving very large populations. The theory typically rests on two key assumptions: homogeneity, meaning that all players share the same…
We study mean field portfolio games with consumption. For general market parameters, we establish a one-to-one correspondence between Nash equilibria of the game and solutions to some FBSDE, which is proved to be equivalent to some BSDE.…
In this paper, we use mean field games (MFGs) to investigate approximations of $N$-player games with uniformly symmetrically continuous heterogeneous closed-loop actions. To incorporate agents' risk aversion (beyond the classical expected…
Mean-field games with absorption is a class of games, that have been introduced in Campi and Fischer (2018) and that can be viewed as natural limits of symmetric stochastic differential games with a large number of players who, interacting…
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…
Financial markets and more generally macro-economic models involve a large number of individuals interacting through variables such as prices resulting from the aggregate behavior of all the agents. Mean field games have been introduced to…
Mean field games (MFGs) model equilibria in games with a continuum of weakly interacting players as limiting systems of symmetric $n$-player games. We consider the finite-state, infinite-horizon problem with ergodic cost. Assuming Markovian…
Automated market makers (AMMs) have emerged as the dominant market mechanism for trading on decentralized exchanges implemented on blockchains. This paper presents a single mechanism that targets two important unsolved problems for AMMs:…