Related papers: Complex Markets and Mean Field Games: Beyond Basic…
We introduce a class of robust control problems formulated in min-max form, in which the principal agent is viewed as a central planner facing Nature. The agent's cost is a nonlinear function of all its possible realizations, encompassing…
Automated market makers (AMMs) allocate fee revenue \textit{proportional} to the amount of liquidity investors deposit. In this paper, we study the economic consequences of the competition between passive liquidity providers (LPs) caused by…
Concentrated liquidity automated market makers (AMMs), such as Uniswap v3, enable liquidity providers (LPs) to earn liquidity rewards by depositing tokens into liquidity pools. However, LPs often face significant financial losses driven by…
We consider network aggregative games to model and study multi-agent populations in which each rational agent is influenced by the aggregate behavior of its neighbors, as specified by an underlying network. Specifically, we examine systems…
We study a model of the Fiscal Theory of the Price Level (FTPL) in a Bewley-Huggett-Aiyagari framework with heterogeneous agents. The model is set in continuous time, and ex post heterogeneity arises due to idiosyncratic, uninsurable income…
Finite-state mean-field games (MFGs) arise as limits of large interacting particle systems and are governed by an MFG system, a coupled forward-backward differential equation consisting of a forward Kolmogorov-Fokker-Planck (KFP) equation…
Mean field games (MFGs) offer a powerful framework for modeling large-scale multi-agent systems. This paper addresses MFGs formulated in continuous time with discrete state spaces, where agents' dynamics are governed by continuous-time…
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…
Given a large number of homogeneous players that are distributed across three possible states, we consider the problem in which these players have to control their transition rates, while minimizing a cost. The optimal transition rates are…
We consider the mean-field game price formation model introduced by Gomes and Sa\'ude. In this MFG model, agents trade a commodity whose supply can be deterministic or stochastic. Agents maximize profit, taking into account current and…
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…
Interaction strategies for reward in competitive environments are significantly influenced by the nature and extent of available information. In financial markets, particularly foreign exchange (forex), traders operate independently with…
The framework of Mean-field Games (MFGs) is used for modelling the collective dynamics of large populations of non-cooperative decision-making agents. We formulate and analyze a kinetic MFG model for an interacting system of non-cooperative…
Matching games is a one-to-one two sided market model introduced by Garrido-Lucero and Laraki, in which coupled agents' utilities are endogenously determined as the outcome of a strategic game. They refine the classical pairwise stability…
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) can potentially scale multi-agent systems to extremely large populations of agents. Yet, most of the literature assumes a single initial distribution for the agents, which limits the practical applications of MFGs.…
Mean field games and controls involve guiding the behavior of large populations of interacting agents, where each individual's influence on the group is negligible but collectively impacts overall dynamics. Hybrid systems integrate…
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…
Recent research in industrial organisation has investigated the essential place that middlemen have in the networks that make up our global economy. In this paper we attempt to understand how such middlemen compete with each other through a…
We study how trading fees and continuous-time arbitrage affect the profitability of liquidity providers (LPs) in Geometric Mean Market Makers (G3Ms). We use stochastic reflected diffusion processes to analyze the dynamics of a G3M model…