Related papers: Complex Markets and Mean Field Games: Beyond Basic…
We discuss a class of explicitly solvable mean field type control problems/mean field games with a clear economic interpretation. More precisely, we consider long term average impulse control problems with underlying general one-dimensional…
Recent work in the field of multi-agent systems has sought to use techniques and concepts from the field of formal methods to provide rigorous theoretical analysis and guarantees on complex systems where multiple agents strategically…
We study in this paper three aspects of Mean Field Games. The first one is the case when the dynamics of each player depend on the strategies of the other players. The second one concerns the modeling of '' noise '' in discrete space models…
Liquidity providers (LPs) are essential figures in the operation of automated market makers (AMMs); in exchange for transaction fees, LPs lend the liquidity that allows AMMs to operate. While many prior works have studied the incentive…
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,…
Mean field games (MFG) and mean field control problems (MFC) are frameworks to study Nash equilibria or social optima in games with a continuum of agents. These problems can be used to approximate competitive or cooperative games with a…
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…
We propose a heterogeneous agent market model (HAM) in continuous time. The market is populated by fundamental traders and chartists, who both use simple linear trading rules. Most of the related literature explores stability, price…
In this paper, we consider a mean field game (MFG) with a major and $N$ minor agents. We first consider the limiting problem and allow the coefficients to vary with the conditional distribution in a nonlinear way. We use the stochastic…
We present a new type of game, the Liquidity Game. We draw inspiration from the UK government bond market and apply game theoretic approaches to its analysis. In Liquidity Games, market participants (agents) use non-cooperative games where…
We examine how the introduction of concentrated liquidity has changed the liquidity provision market in automated market makers such as Uniswap. To this end, we compare average liquidity provider returns from trading fees before and after…
High performance machine learning models have become highly dependent on the availability of large quantity and quality of training data. To achieve this, various central agencies such as the government have suggested for different data…
We investigate how asymmetric information affects equilibrium price formation in an economy with many interacting agents. Motivated by a finite-player model with two populations of asymmetrically informed agents, we study its mean-field…
This paper studies an optimal investment-consumption problem for competitive agents with exponential or power utilities and a common finite time horizon. Each agent regards the average of habit formation and wealth from all peers as…
Agents attempt to maximize expected profits earned by selling multiple units of a perishable product where their revenue streams are affected by the prices they quote as well as the distribution of other prices quoted in the market by other…
Geometric mean market makers (G3Ms), such as Uniswap and Balancer, comprise a popular class of automated market makers (AMMs) defined by the following rule: the reserves of the AMM before and after each trade must have the same (weighted)…
In this paper, we study a large population game with heterogeneous dynamics and cost functions solving a consensus problem. Moreover, the agents have communication constraints which appear as: (1) an Additive-White Gaussian Noise (AWGN)…
As automated trading gains traction in the financial market, algorithmic investment strategies are increasingly prominent. While Large Language Models (LLMs) and Agent-based models exhibit promising potential in real-time market analysis…
We propose and investigate a general class of discrete time and finite state space mean field game (MFG) problems with potential structure. Our model incorporates interactions through a congestion term and a price variable. It also allows…
We study a game between liquidity provider and liquidity taker agents interacting in an over-the-counter market, for which the typical example is foreign exchange. We show how a suitable design of parameterized families of reward functions…