TY - JOUR
T1 - A Mean-Field Game Approach to Price Formation
AU - Gomes, Diogo A.
AU - Saúde, João
N1 - KAUST Repository Item: Exported on 2020-10-01
Acknowledgements: Diogo A. Gomes was partially supported by KAUST baseline funds and KAUST OSR-CRG2017-3452. João Saúde was partially supported by FCT/Portugal through the CMU-Portugal Program.
PY - 2020/2/17
Y1 - 2020/2/17
N2 - 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.
AB - 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.
UR - http://hdl.handle.net/10754/661572
UR - http://link.springer.com/10.1007/s13235-020-00348-x
UR - http://www.scopus.com/inward/record.url?scp=85079799095&partnerID=8YFLogxK
U2 - 10.1007/s13235-020-00348-x
DO - 10.1007/s13235-020-00348-x
M3 - Article
SN - 2153-0785
JO - Dynamic Games and Applications
JF - Dynamic Games and Applications
ER -