相关论文: Mean Field Game of Controls and An Application To …

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 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…

Recent financial bubbles such as the emergence of cryptocurrencies and "meme stocks" have gained increasing attention from both retail and institutional investors. In this paper, we propose a game-theoretic model on optimal liquidation in…

In this paper, we investigate the interaction of two populations with a large number of indistinguishable agents. The problem consists in two levels: the interaction between agents of a same population, and the interaction between the two…

We consider both $N$-player and mean-field games of optimal portfolio liquidation in which the players are not allowed to change the direction of trading. Players with an initially short position of stocks are only allowed to buy while…

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…

This paper goes beyond the optimal trading Mean Field Game model introduced by Pierre Cardaliaguet and Charles-Albert Lehalle in [Cardaliaguet, P. and Lehalle, C.-A., Mean field game of controls and an application to trade crowding,…

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…

Even when confronted with the same data, agents often disagree on a model of the real-world. Here, we address the question of how interacting heterogenous agents, who disagree on what model the real-world follows, optimize their trading…

This work builds on the theoretical frameworks presented in "Liquidity pools as mean field games: A new framework" and "Liquidity pools as mean field games with transaction costs" by the same author, where the strategic interactions among…

This paper studies Mean Field Games (MFGs) in which agent dynamics are given by jump processes of controlled intensity, with mean-field interaction via the controls and affecting the jump intensities. We establish the existence of MFG…

This paper concerns a Mean Field Game (MFG) system related to a Nash type equilibrium for dynamical games associated to large populations. One shows that the MFG system may be viewed as the Euler-Lagrange system for an optimal control…

We consider a market where a finite number of players trade an asset whose supply is a stochastic process. The price formation problem consists of finding a price process that ensures that when agents act optimally to minimize their trading…

Mean field games (MFG) and mean field control (MFC) are critical classes of multi-agent models for efficient analysis of massive populations of interacting agents. Their areas of application span topics in economics, finance, game theory,…

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…

We consider a mean field game (MFG) of optimal portfolio liquidation under asymmetric information. We prove that the solution to the MFG can be characterized in terms of a FBSDE with possibly singular terminal condition on the backward…

Here, we examine a mean-field game (MFG) that models the economic growth of a population of non-cooperative rational agents. In this MFG, agents are described by two state variables - the capital and consumer goods they own. Each agent…

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…

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,…

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…