论文标题
与市场清除条件的平衡定价的平均野外游戏方法
A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition
论文作者
论文摘要
在这项工作中，我们研究了一个基于均衡的连续资产定价问题，该问题旨在通过要求在交易市场中平衡销售和购买订单的流量来内在地形成价格过程，在交易市场中，大量代理商正在通过市场价格进行交互。采用平均野外游戏（MFG）方法，我们找到了一种特殊形式的前后背部随机微分方程，麦基恩·维拉索夫（McKean-Vlasov Type）具有常见的噪声，其解决方案可以很好地估计市场价格。我们显示了大N-LIMIT中的净顺序流量为零，并在某些条件下在N中获得收敛顺序。我们还将模型扩展到具有多个人群的设置，在该设置中，每个人群中的代理人共享相同的成本和系数功能，但它们可能是人口不同的人群。
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 agents are interacting through the market price. Adopting a mean field game (MFG) approach, we find a special form of forward-backward stochastic differential equations of McKean-Vlasov type with common noise whose solution provides a good approximate of the market price. We show the convergence of the net order flow to zero in the large N-limit and get the order of convergence in N under some conditions. We also extend the model to a setup with multiple populations where the agents within each population share the same cost and coefficient functions but they can be different population by population.
