- Previous Article
- NHM Home
- This Issue
-
Next Article
A modest proposal for MFG with density constraints
Liquidity generated by heterogeneous beliefs and costly estimations
1. | CEREMADE, Universite Paris Dauphine, Place du Marechal de Lattre de Tassigny, 75016 Paris, France |
2. | CEREMADE, Université Paris Dauphine, Place du Marechal de Lattre de Tassigny, 75016 Paris, France |
References:
[1] |
Yves Achdou, Fabio Camilli and Italo Capuzzo-Dolcetta, Mean field games: Numerical methods for the planning problem, SIAM Journal on Control and Optimization, 50 (2012), 77-109.
doi: 10.1137/100790069. |
[2] |
Yves Achdou and Italo Capuzzo-Dolcetta, Mean field games: Numerical methods, SIAM J. Numer. Anal., 48 (2010), 1136-1162.
doi: 10.1137/090758477. |
[3] |
Marco Avellaneda and Sasha Stoikov, High-frequency trading in a limit order book, Quantitative Finance, 8 (2008), 217-224. |
[4] |
Agnes Bialecki, Eleonore Haguet and Gabriel Turinici, Trading volume as equilibrium induced by heterogeneous uncertain estimations of a continuum of agents, in preparation, 2012. |
[5] |
Michael Gallmeyer and Burton Hollifield, An examination of heterogeneous beliefs with a short-sale constraint in a dynamic economy, Review of Finance, 12 (2008), 323-364.
doi: 10.1093/rof/rfm036. |
[6] |
Diogo A. Gomes, Joana Mohr and Rafael Rigao Souza, Discrete time, finite state space mean field games, Journal de Mathématiques Pures et Appliquées (9), 93 (2010), 308-328. |
[7] |
Olivier Guéant, A reference case for mean field games models, Journal de Mathématiques Pures et Appliquées (9), 92 (2009), 276-294. |
[8] |
Roger Guesnerie, An exploration of the eductive justifications of the rational-expectations hypothesis, The American Economic Review, 82 (1992). |
[9] |
Alexandra Hachmeister, "Informed Traders as Liquidity Providers," DUV, 2007. |
[10] |
E. Jouini and C. Napp, Aggregation of heterogeneous beliefs, Journal of Mathematical Economics, 42 (2006), 752-770.
doi: 10.1016/j.jmateco.2006.02.001. |
[11] |
Elyès Jouini and Clotilde Napp, Heterogeneous beliefs and asset pricing in discrete time: An analysis of pessimism and doubt, Journal of Economic Dynamics and Control, 30 (2006), 1233-1260.
doi: 10.1016/j.jedc.2005.05.008. |
[12] |
Aime Lachapelle, Julien Salomon and Gabriel Turinici, Computation of mean field equilibria in economics, Math. Models Methods Appl. Sci., 20 (2010), 567-588.
doi: 10.1142/S0218202510004349. |
[13] |
Aimé Lachapelle and Marie-Therese Wolfram, On a mean field game approach modeling congestion and aversion in pedestrian crowds, Transportation Research Part B: Methodological, 45 (2011), 1572-1589.
doi: 10.1016/j.trb.2011.07.011. |
[14] |
Jean-Michel Lasry and Pierre-Louis Lions, Mean field games. I. The stationary case, Comptes Rendus Mathematique Acad. Sci. Paris, 343 (2006), 619-625.
doi: 10.1016/j.crma.2006.09.019. |
[15] |
Jean-Michel Lasry and Pierre-Louis Lions, Mean field games. II. Finite horizon and optimal control, Comptes Rendus Mathematique Acad. Sci. Paris, 343 (2006), 679-684.
doi: 10.1016/j.crma.2006.09.018. |
[16] |
Jean-Michel Lasry and Pierre-Louis Lions, Mean field games, Japanese Journal of Mathematics, 2 (2007), 229-260. |
[17] |
Pierre-Louis Lions, Mean field games course at Collège de France, video files., Available from: \url{http://www.college-de-france.fr/}., ().
|
[18] |
Maureen O'Hara, "Market Microstructure Theory," Blackwell Business, March, 1997. |
[19] |
Emilio Osambela, Asset pricing with heterogeneous beliefs and endogenous liquidity constraints, SSRN eLibrary, 2010. |
[20] |
Min Shen and Gabriel Turinici, "Mean Field Game Theory Applied in Financial Market Liquidity," internal report, CEREMADE, Université Paris Dauphine, 2011. |
show all references
References:
[1] |
Yves Achdou, Fabio Camilli and Italo Capuzzo-Dolcetta, Mean field games: Numerical methods for the planning problem, SIAM Journal on Control and Optimization, 50 (2012), 77-109.
doi: 10.1137/100790069. |
[2] |
Yves Achdou and Italo Capuzzo-Dolcetta, Mean field games: Numerical methods, SIAM J. Numer. Anal., 48 (2010), 1136-1162.
doi: 10.1137/090758477. |
[3] |
Marco Avellaneda and Sasha Stoikov, High-frequency trading in a limit order book, Quantitative Finance, 8 (2008), 217-224. |
[4] |
Agnes Bialecki, Eleonore Haguet and Gabriel Turinici, Trading volume as equilibrium induced by heterogeneous uncertain estimations of a continuum of agents, in preparation, 2012. |
[5] |
Michael Gallmeyer and Burton Hollifield, An examination of heterogeneous beliefs with a short-sale constraint in a dynamic economy, Review of Finance, 12 (2008), 323-364.
doi: 10.1093/rof/rfm036. |
[6] |
Diogo A. Gomes, Joana Mohr and Rafael Rigao Souza, Discrete time, finite state space mean field games, Journal de Mathématiques Pures et Appliquées (9), 93 (2010), 308-328. |
[7] |
Olivier Guéant, A reference case for mean field games models, Journal de Mathématiques Pures et Appliquées (9), 92 (2009), 276-294. |
[8] |
Roger Guesnerie, An exploration of the eductive justifications of the rational-expectations hypothesis, The American Economic Review, 82 (1992). |
[9] |
Alexandra Hachmeister, "Informed Traders as Liquidity Providers," DUV, 2007. |
[10] |
E. Jouini and C. Napp, Aggregation of heterogeneous beliefs, Journal of Mathematical Economics, 42 (2006), 752-770.
doi: 10.1016/j.jmateco.2006.02.001. |
[11] |
Elyès Jouini and Clotilde Napp, Heterogeneous beliefs and asset pricing in discrete time: An analysis of pessimism and doubt, Journal of Economic Dynamics and Control, 30 (2006), 1233-1260.
doi: 10.1016/j.jedc.2005.05.008. |
[12] |
Aime Lachapelle, Julien Salomon and Gabriel Turinici, Computation of mean field equilibria in economics, Math. Models Methods Appl. Sci., 20 (2010), 567-588.
doi: 10.1142/S0218202510004349. |
[13] |
Aimé Lachapelle and Marie-Therese Wolfram, On a mean field game approach modeling congestion and aversion in pedestrian crowds, Transportation Research Part B: Methodological, 45 (2011), 1572-1589.
doi: 10.1016/j.trb.2011.07.011. |
[14] |
Jean-Michel Lasry and Pierre-Louis Lions, Mean field games. I. The stationary case, Comptes Rendus Mathematique Acad. Sci. Paris, 343 (2006), 619-625.
doi: 10.1016/j.crma.2006.09.019. |
[15] |
Jean-Michel Lasry and Pierre-Louis Lions, Mean field games. II. Finite horizon and optimal control, Comptes Rendus Mathematique Acad. Sci. Paris, 343 (2006), 679-684.
doi: 10.1016/j.crma.2006.09.018. |
[16] |
Jean-Michel Lasry and Pierre-Louis Lions, Mean field games, Japanese Journal of Mathematics, 2 (2007), 229-260. |
[17] |
Pierre-Louis Lions, Mean field games course at Collège de France, video files., Available from: \url{http://www.college-de-france.fr/}., ().
|
[18] |
Maureen O'Hara, "Market Microstructure Theory," Blackwell Business, March, 1997. |
[19] |
Emilio Osambela, Asset pricing with heterogeneous beliefs and endogenous liquidity constraints, SSRN eLibrary, 2010. |
[20] |
Min Shen and Gabriel Turinici, "Mean Field Game Theory Applied in Financial Market Liquidity," internal report, CEREMADE, Université Paris Dauphine, 2011. |
[1] |
Alfredo Daniel Garcia, Martin Andrés Szybisz. Financial liquidity: An emergent phenomena. Journal of Dynamics and Games, 2020, 7 (3) : 209-224. doi: 10.3934/jdg.2020015 |
[2] |
Sergey V Lototsky, Henry Schellhorn, Ran Zhao. An infinite-dimensional model of liquidity in financial markets. Probability, Uncertainty and Quantitative Risk, 2021, 6 (2) : 117-138. doi: 10.3934/puqr.2021006 |
[3] |
Chandan Pal, Somnath Pradhan. Zero-sum games for pure jump processes with risk-sensitive discounted cost criteria. Journal of Dynamics and Games, 2022, 9 (1) : 13-25. doi: 10.3934/jdg.2021020 |
[4] |
Fabio Camilli, Elisabetta Carlini, Claudio Marchi. A model problem for Mean Field Games on networks. Discrete and Continuous Dynamical Systems, 2015, 35 (9) : 4173-4192. doi: 10.3934/dcds.2015.35.4173 |
[5] |
Hiroshi Konno, Tomokazu Hatagi. Index-plus-alpha tracking under concave transaction cost. Journal of Industrial and Management Optimization, 2005, 1 (1) : 87-98. doi: 10.3934/jimo.2005.1.87 |
[6] |
Laura Aquilanti, Simone Cacace, Fabio Camilli, Raul De Maio. A Mean Field Games model for finite mixtures of Bernoulli and categorical distributions. Journal of Dynamics and Games, 2021, 8 (1) : 35-59. doi: 10.3934/jdg.2020033 |
[7] |
Xiaohu Qian, Min Huang, Wai-Ki Ching, Loo Hay Lee, Xingwei Wang. Mechanism design in project procurement auctions with cost uncertainty and failure risk. Journal of Industrial and Management Optimization, 2019, 15 (1) : 131-157. doi: 10.3934/jimo.2018036 |
[8] |
. Publisher Correction to: Probability, uncertainty and quantitative risk, volume 4. Probability, Uncertainty and Quantitative Risk, 2019, 4 (0) : 7-. doi: 10.1186/s41546-019-0041-7 |
[9] |
Lars Grüne, Marleen Stieler. Multiobjective model predictive control for stabilizing cost criteria. Discrete and Continuous Dynamical Systems - B, 2019, 24 (8) : 3905-3928. doi: 10.3934/dcdsb.2018336 |
[10] |
Elena Bonetti, Giovanna Bonfanti, Riccarda Rossi. Analysis of a model coupling volume and surface processes in thermoviscoelasticity. Discrete and Continuous Dynamical Systems, 2015, 35 (6) : 2349-2403. doi: 10.3934/dcds.2015.35.2349 |
[11] |
Dimitra Antonopoulou, Georgia Karali. A nonlinear partial differential equation for the volume preserving mean curvature flow. Networks and Heterogeneous Media, 2013, 8 (1) : 9-22. doi: 10.3934/nhm.2013.8.9 |
[12] |
Xiaomei Li, Renjing Liu, Zhongquan Hu, Jiamin Dong. Information sharing in two-tier supply chains considering cost reduction effort and information leakage. Journal of Industrial and Management Optimization, 2021 doi: 10.3934/jimo.2021200 |
[13] |
Pierre Cardaliaguet, Jean-Michel Lasry, Pierre-Louis Lions, Alessio Porretta. Long time average of mean field games. Networks and Heterogeneous Media, 2012, 7 (2) : 279-301. doi: 10.3934/nhm.2012.7.279 |
[14] |
Josu Doncel, Nicolas Gast, Bruno Gaujal. Discrete mean field games: Existence of equilibria and convergence. Journal of Dynamics and Games, 2019, 6 (3) : 221-239. doi: 10.3934/jdg.2019016 |
[15] |
Yves Achdou, Manh-Khang Dao, Olivier Ley, Nicoletta Tchou. A class of infinite horizon mean field games on networks. Networks and Heterogeneous Media, 2019, 14 (3) : 537-566. doi: 10.3934/nhm.2019021 |
[16] |
Martin Burger, Marco Di Francesco, Peter A. Markowich, Marie-Therese Wolfram. Mean field games with nonlinear mobilities in pedestrian dynamics. Discrete and Continuous Dynamical Systems - B, 2014, 19 (5) : 1311-1333. doi: 10.3934/dcdsb.2014.19.1311 |
[17] |
Adriano Festa, Diogo Gomes, Francisco J. Silva, Daniela Tonon. Preface: Mean field games: New trends and applications. Journal of Dynamics and Games, 2021, 8 (4) : i-ii. doi: 10.3934/jdg.2021025 |
[18] |
Marco Cirant, Diogo A. Gomes, Edgard A. Pimentel, Héctor Sánchez-Morgado. On some singular mean-field games. Journal of Dynamics and Games, 2021, 8 (4) : 445-465. doi: 10.3934/jdg.2021006 |
[19] |
Lucio Boccardo, Luigi Orsina. The duality method for mean field games systems. Communications on Pure and Applied Analysis, 2022, 21 (4) : 1343-1360. doi: 10.3934/cpaa.2022021 |
[20] |
Bendong Lou. Periodic traveling waves of a mean curvature flow in heterogeneous media. Discrete and Continuous Dynamical Systems, 2009, 25 (1) : 231-249. doi: 10.3934/dcds.2009.25.231 |
2020 Impact Factor: 1.213
Tools
Metrics
Other articles
by authors
[Back to Top]