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 …

In this work, we develop an equilibrium model for price formation of securities in a market
composed of two populations of different types: the first one consists of cooperative agents …

In this paper, using the mean-field game theory, we study a problem of equilibrium price
formation among many investors with exponential utility in the presence of liabilities …

This paper presents an asset pricing model in an incomplete market involving a large
number of heterogeneous agents based on the mean field game theory. In the model, we …

In a fixed time horizon, appropriately executing a large amount of a particular asset--
meaning a considerable portion of the volume traded within this frame--is challenging …

This paper studies an asset pricing model in a partially observable market with a large
number of heterogeneous agents using the mean field game theory. In this model, we …

The measurement of expected returns has a major impact on portfolio performance. While
there are several methods used for estimating expected returns in existing studies, the mean …

In this paper, we study a class of first-order mean-field games (MFGs) that model price
formation. Using Poincar {\'e} Lemma, we eliminate one of the equations and obtain a …

This paper presents an asset pricing model in an incomplete market involving a large
number of heterogeneous agents, based on the mean field game theory. The primary …

This thesis studies mean-field games (MFGs) models of price formation. The thesis focuses
explicitly on a MFGs price formation model proposed by Gomes and Saude. The thesis is …