Related papers: Complex Markets and Mean Field Games: Beyond Basic…
This paper revisits well-studied dynamic decisions of weakly coupled large-population (LP) systems. Specifically, three types of LP decision problems: mean-field game (MG), mean-field team (MT), and mean-field-type control (MC), are…
We study decentralized markets with the presence of middlemen, modeled by a non-cooperative bargaining game in trading networks. Our goal is to investigate how the network structure of the market and the role of middlemen influence the…
In this paper we study a mean field model for discrete time, finite number of states, dynamic games. These models arise in situations that involve a very large number of agents moving from state to state according to certain optimality…
This paper studies the competition among multiple fund managers with relative performance over the excess logarithmic return. Fund managers compete with each other and have expected utility or mean-variance criteria for excess logarithmic…
We study optimal portfolio choice models in markets with partial information about the stock's drift. We solve the single agent problem for general utilities using a new approach that yields regularity of the value function and closed form…
We investigate mean-field games (MFG) in which agents can actively control their speed of access to information. Specifically, the agents can dynamically decide to obtain observations with reduced delay by accepting higher observation…
We propose a new approach to mean field games with major and minor players. Our formulation involves a two player game where the optimization of the representative minor player is standard while the major player faces an optimization over…
This paper studies relative arbitrage opportunities in a market with competitive investors through stochastic differential games in the limit as the number of players tends to infinity. With common noises introduced by the stock…
This paper deals with a stochastic order-driven market model with waiting costs, for order books with heterogenous traders. Offer and demand of liquidity drives price formation and traders anticipate future evolutions of the order book. The…
Mean Field Control Games (MFCGs) provide a powerful theoretical framework for analyzing systems of infinitely many interacting agents, blending elements from Mean Field Games (MFGs) and Mean Field Control (MFC). However, solving the coupled…
This paper considers mean field games in a multi-agent Markov decision process (MDP) framework. Each player has a continuum state and binary action, and benefits from the improvement of the condition of the overall population. Based on an…
In this work, we systematically investigate mean field games and mean field type control problems with multiple populations using a coupled system of forward-backward stochastic differential equations of McKean-Vlasov type stemming from…
In a probabilistic mean field game driven by a L\'evy process an individual player aims to minimize a long run discounted/ergodic cost by controlling the process through a pair of increasing and decreasing c\`adl\`ag processes, while he is…
Large language models (LLMs) are increasingly being deployed as autonomous agents on behalf of institutions and individuals in economic, political, and social settings that involve negotiation. Yet this trend carries significant risks if…
The interactions between a large population of high-frequency traders (HFTs) and a large trader (LT) who executes a certain amount of assets at discrete time points are studied. HFTs are faster in the sense that they trade continuously and…
Mean-field games (MFGs) are a modeling framework for systems with a large number of interacting agents. They have applications in economics, finance, and game theory. Normalizing flows (NFs) are a family of deep generative models that…
The introduction of aggregator structures has proven effective in bringing fairness to energy resource allocation by negotiating for more resources and economic surplus on behalf of users. This paper extends the fair energy resource…
Mean Field Games (MFG) theory describes strategic interactions in differential games with a large number of small and indistinguishable players. Traditionally, the players' control impacts only the drift term in the system's dynamics,…
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…
This paper builds a model of interactive belief hierarchies to derive the conditions under which judging an arbitrage opportunity requires Bayesian market participants to exercise their higher-order beliefs. As a Bayesian, an agent must…