A Mean-Field Game Approach to Price Formation

被引：0
作者：
Diogo A. Gomes
João Saúde
机构：
[1] King Abdullah University of Science and Technology (KAUST),CEMSE Division
[2] Carnegie Mellon University,Electrical and Computer Engineering Department
来源：
Dynamic Games and Applications | 2021年 / 11卷
关键词：
Mean-field games; Price formation; Monotonicity methods; 91A13; 91A10; 49M30;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Here, we introduce a price formation model where a large number of small players can store and trade a commodity such as electricity. Our model is a constrained mean-field game (MFG) where the price is a Lagrange multiplier for the supply versus demand balance condition. We establish the existence of a unique solution using a fixed-point argument. In particular, we show that the price is well defined, and it is a Lipschitz function of time. Then, we study linear-quadratic models that can be solved explicitly and compare our model with real data.
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页码：29 / 53
页数：24
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