A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Study shows finite agent equilibrium converges to mean-field limit in asset pricing.
Market equilibrium price proven in a large-agent model.
Existence of Radner equilibrium proven with growing population.
The large majority of risk-sharing transactions involve few agents, each of whom can heavily influence the structure and the prices of securities. This paper proposes a game where agents' strategic sets consist of all possible sharing securities and pricing kernels that are consistent with Arrow-Debreu sharing rules. F…
We investigate the effects of the social interactions of a finite set of agents on an equilibrium pricing mechanism. A derivative written on non-tradable underlyings is introduced to the market and priced in an equilibrium framework by agents who assess risk using convex dynamic risk measures expressed by Backward Stoc…
Develops an equilibrium model for securities pricing in a mixed cooperative and non-cooperative market.
Game theory models how agents trade in a risky asset considering price impact and a common signal.
Study optimal investment and consumption strategies for competitive agents with habit formation.
We prove the global existence of an incomplete, continuous-time finite-agent Radner equilibrium in which exponential agents optimize their expected utility over both running consumption and terminal wealth. The market consists of a traded annuity, and, along with unspanned income, the market is incomplete. Set in a Bro…
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 all agents filter the latent states of the world, and their trading actions hav…
Equilibrium found for multi-agent trading with transaction costs.
Modeling price formation in intraday electricity markets with renewable generation.
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have exponential utility functions and the individual endowments are spanned by the securities…
ABIDES-MARL uses MARL to study market behavior in a realistic financial simulation.
We consider a financial market model which consists of a financial asset and a large number of interacting agents classified into many types. Different types of agents are heterogeneous in their price expectations. Each agent can change its type based on the current empirical distribution of the types and the equilibri…
Policy mirror ascent achieves Nash equilibrium in mean field games without a population generative model.
Study dynamic equilibrium with insider and general uninformed agent preferences.
Study optimal treatment assignment policies under strategic agent responses.
This paper tackles learning Stackelberg equilibrium in asymmetric games efficiently from noisy samples.
Graphon game model simplifies stochastic interactions among agents.
Study of entropy-regularized LQG MFGs with exploratory actions.
Develops variational framework for LQG risk-sensitive MFGs with major-minor interactions.
Study on equilibrium with non-convex preferences.
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 Pontryagin's stochastic maximum principle. Although the same cost functions as well…
We propose an analytically tractable variation of the minority game in which rational agents use probabilistic strategies. In our model, agents choose between two alternatives repeatedly, and those who are in the minority get a pay-off 1, others zero. The agents optimize the expectation value of their discounted fu…
We study the formation of derivative prices in equilibrium between risk-neutral agents with heterogeneous beliefs about the dynamics of the underlying. Under the condition that the derivative cannot be shorted, we prove the existence of a unique equilibrium price and show that it incorporates the speculative value of p…
Model equilibrium price in intraday electricity markets with uncertainty.
Some general features of kinetic multi-agent models are reviewed, with particular attention to the relation between the agent saving propensities and the form of the equilibrium wealth distribution. The effect of a finite cutoff of the saving propensity distribution on the corresponding wealth distribution is studied. …
We discuss a natural game of competition and solve the corresponding mean field game with \emph{common noise} when agents' rewards are \emph{rank dependent}. We use this solution to provide an approximate Nash equilibrium for the finite player game and obtain the rate of convergence.
Two-cycle GEILA equilibria are OLG equilibria and vice versa, with applications to indeterminacy and bubbles.
We consider risk-averse agents who compete for liquidity in an Almgren--Chriss market impact model. Mathematically, this situation can be described by a Nash equilibrium for a certain linear-quadratic differential game with state constraints. The state constraints enter the problem as terminal boundary conditions f…
Develops asset pricing models with mean field game theory for heterogeneous agents.
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 actions. The market has latent factors that drive prices, and agents account for th…
Study on stock price formation on trees with multi-population and non-rational agents.
Investigates price dynamics of two assets with and without bubbles, deriving conditions for equilibrium prices.
In his lectures at College de France, P.L. Lions introduced the concept of Master equation, see [5] for Mean Field Games. It is introduced in a heuristic fashion, from the system of partial differential equations, associated to a Nash equilibrium for a large, but finite, number of players. The method, also explained in…
Proves existence of equilibrium in limited participation economy.
This paper develops a dynamic equilibrium model where agents exhibit a strong form of belief heterogeneity: they disagree about zero probability events. It is shown that, somewhat surprisingly, equilibrium exists in this setting, and that the disagreement about nullsets naturally leads to equilibrium asset pricing bubb…
Optimal penalties for RECs balance environmental and revenue impacts.
We consider a simple model of a closed economic system where the total money is conserved and the number of economic agents is fixed. In analogy to statistical systems in equilibrium, money and the average money per economic agent are equivalent to energy and temperature, respectively. We investigate the effect of the …
Dynamic pricing model considers ambiguity in endowment growth rate.
We analyze a family of portfolio management problems under relative performance criteria, for fund managers having CARA or CRRA utilities and trading in a common investment horizon in log-normal markets. We construct explicit constant equilibrium strategies for both the finite population games and the corresponding mea…
Entropy regularization improves MFG learning efficiency and stability.
This paper studies two important signal processing aspects of equilibrium behavior in non-cooperative games arising in social networks, namely, reinforcement learning and detection of equilibrium play. The first part of the paper presents a reinforcement learning (adaptive filtering) algorithm that facilitates learning…
Proves minimax sample complexity for turn-based stochastic games.
This work explains crises in markets without external news using bounded rational agents.
Study equilibrium consumption habits in a large population using mean field games.
The paper studies an oligopolistic equilibrium model of financial agents who aim to share their random endowments. The risk-sharing securities and their prices are endogenously determined as the outcome of a strategic game played among all the participating agents. In the complete-market setting, each agent's set of st…