Heterogenous Macro-Finance Model: A Mean-field Game Approach
Fuente:
arXiv
Saved in:
| Main Authors: | Vu, Hoang, Ichiba, Tomoyuki |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Relative Arbitrage Opportunities With Interactions Among N Investors
by: Tomoyuki Ichiba, et al.
Published: (2026)
by: Tomoyuki Ichiba, et al.
Published: (2026)
Finding the nonnegative minimal solutions of Cauchy PDEs in a volatility-stabilized market
by: Yang, Nicole Tianjiao, et al.
Published: (2024)
by: Yang, Nicole Tianjiao, et al.
Published: (2024)
Relative Arbitrage Opportunities in an Extended Mean Field System
by: Yang, Nicole Tianjiao, et al.
Published: (2023)
by: Yang, Nicole Tianjiao, et al.
Published: (2023)
Relative Arbitrage Opportunities with Interactions among $N$ Investors
by: Ichiba, Tomoyuki, et al.
Published: (2020)
by: Ichiba, Tomoyuki, et al.
Published: (2020)
Unbiased Rough Integrators and No Free Lunch in Rough-Path-Based Market Models
by: Ichiba, Tomoyuki, et al.
Published: (2025)
by: Ichiba, Tomoyuki, et al.
Published: (2025)
A Mean Field Game Approach to Relative Investment-Consumption Games with Habit Formation
by: Liang, Zongxia, et al.
Published: (2024)
by: Liang, Zongxia, et al.
Published: (2024)
Mean Field Portfolio Games with Epstein-Zin Preferences
by: Fu, Guanxing, et al.
Published: (2025)
by: Fu, Guanxing, et al.
Published: (2025)
Mean Field Game of High-Frequency Anticipatory Trading
by: Cheng, Xue, et al.
Published: (2024)
by: Cheng, Xue, et al.
Published: (2024)
A Mean Field Game approach for pollution regulation of competitive firms
by: Del Sarto, Gianmarco, et al.
Published: (2024)
by: Del Sarto, Gianmarco, et al.
Published: (2024)
Partial Information in a Mean‐Variance Portfolio Selection Game
by: Yu‐Jui Huang, et al.
Published: (2025)
by: Yu‐Jui Huang, et al.
Published: (2025)
Systemic Risk and Heterogeneous Mean Field Type Interbank Network
by: Sun, Li-Hsien
Published: (2019)
by: Sun, Li-Hsien
Published: (2019)
Predictable Relative Forward Performance Processes: Multi-Agent and Mean Field Games for Portfolio Management
by: Liang, Gechun, et al.
Published: (2023)
by: Liang, Gechun, et al.
Published: (2023)
Playing with Fire? A Mean Field Game Analysis of Fire Sales and Systemic Risk under Regulatory Capital Constraints
by: Frey, Rüdiger, et al.
Published: (2024)
by: Frey, Rüdiger, et al.
Published: (2024)
Optimal Bubble Riding with Price-dependent Entry: a Mean Field Game of Controls with Common Noise
by: Tangpi, Ludovic, et al.
Published: (2023)
by: Tangpi, Ludovic, et al.
Published: (2023)
A Two-layer Stochastic Game Approach to Reinsurance Contracting and Competition
by: Liang, Zongxia, et al.
Published: (2024)
by: Liang, Zongxia, et al.
Published: (2024)
Stationary Discounted and Ergodic Mean Field Games of Singular Control
by: Cao, Haoyang, et al.
Published: (2021)
by: Cao, Haoyang, et al.
Published: (2021)
Mean-field game of mean-variance portfolio management with peer-based relative risk aversion
by: Cheng, Weilun, et al.
Published: (2026)
by: Cheng, Weilun, et al.
Published: (2026)
Optimal investment with insider information using Skorokhod & Russo-Vallois integration
by: Elizalde, Mauricio, et al.
Published: (2022)
by: Elizalde, Mauricio, et al.
Published: (2022)
Long-Term Mean-Variance Optimization Under Mean-Reverting Equity Returns
by: Preisel, Michael
Published: (2023)
by: Preisel, Michael
Published: (2023)
Continuous-Time Monotone Mean-Variance Portfolio Selection in Jump-Diffusion Model
by: Li, Yuchen, et al.
Published: (2022)
by: Li, Yuchen, et al.
Published: (2022)
Existence of Strong Randomized Equilibria in Mean-Field Games of Optimal Stopping with Common Noise
by: Ferrari, Giorgio, et al.
Published: (2025)
by: Ferrari, Giorgio, et al.
Published: (2025)
Mean-Variance Optimization for Participating Life Insurance Contracts
by: Fießinger, Felix, et al.
Published: (2024)
by: Fießinger, Felix, et al.
Published: (2024)
The Optimal Mean–Variance Selling Problem With Finite Horizon
by: Peter Johnson, et al.
Published: (2026)
by: Peter Johnson, et al.
Published: (2026)
The ESG Rating Game: Deviation, Disagreement, and Greenwashing
by: Qinhan Duan, et al.
Published: (2026)
by: Qinhan Duan, et al.
Published: (2026)
Stochastic Calculus and the Black-Scholes-Merton Model: A Simplified Approach
by: Chang, Kuo-Ping
Published: (2026)
by: Chang, Kuo-Ping
Published: (2026)
Spanning Multi‐Asset Payoffs With ReLUs
by: Sébastien Bossu, et al.
Published: (2025)
by: Sébastien Bossu, et al.
Published: (2025)
Large Banks and Systemic Risk: Insights from a Mean-Field Game Model
by: Chang, Yuanyuan, et al.
Published: (2023)
by: Chang, Yuanyuan, et al.
Published: (2023)
Ranking Quantilized Mean-Field Games with an Application to Early-Stage Venture Investments
by: Tchuendom, Rinel Foguen, et al.
Published: (2025)
by: Tchuendom, Rinel Foguen, et al.
Published: (2025)
The Exploratory Multi-Asset Mean-Variance Portfolio Selection using Reinforcement Learning
by: Li, Yu, et al.
Published: (2025)
by: Li, Yu, et al.
Published: (2025)
Semiclassical CEV Option Pricing Model: an Analytical Approach
by: Capitán, Jose A., et al.
Published: (2024)
by: Capitán, Jose A., et al.
Published: (2024)
Eigen Portfolios: From Single Component Models to Ensemble Approaches
by: Zhou, ZhengXiang, et al.
Published: (2025)
by: Zhou, ZhengXiang, et al.
Published: (2025)
Solving Stochastic Climate‐Economy Models: A Deep Least‐Squares Monte Carlo Approach
by: Aleksandar Arandjelović, et al.
Published: (2026)
by: Aleksandar Arandjelović, et al.
Published: (2026)
Regularity of Solutions of Mean-Field $G$-SDEs
by: Bollweg, Karl-Wilhelm Georg, et al.
Published: (2025)
by: Bollweg, Karl-Wilhelm Georg, et al.
Published: (2025)
Mean-field games with unbounded controls: a weak formulation approach to global solutions
by: Horst, Ulrich, et al.
Published: (2026)
by: Horst, Ulrich, et al.
Published: (2026)
The Approach of Sliced Inference in Systems of Stochastic Differential Equations with Comments on the Heston Model
by: Özsoy, Ahmet Umur
Published: (2025)
by: Özsoy, Ahmet Umur
Published: (2025)
Quantum Advantage for Multi-option Portfolio Pricing and Valuation Adjustments
by: Han, Jeong Yu, et al.
Published: (2022)
by: Han, Jeong Yu, et al.
Published: (2022)
Mean-Field SDEs driven by $G$-Brownian Motion
by: Bollweg, Karl-Wilhelm Georg, et al.
Published: (2024)
by: Bollweg, Karl-Wilhelm Georg, et al.
Published: (2024)
Statistical Learning of Value‐at‐Risk and Expected Shortfall
by: David Barrera, et al.
Published: (2025)
by: David Barrera, et al.
Published: (2025)
Mean-field theory of the Santa Fe model revisited: a systematic derivation from an exact BBGKY hierarchy for the zero-intelligence limit-order book model
by: Wakatsuki, Taiki, et al.
Published: (2025)
by: Wakatsuki, Taiki, et al.
Published: (2025)
Decentralised Finance and Automated Market Making: Execution and Speculation
by: Cartea, Álvaro, et al.
Published: (2023)
by: Cartea, Álvaro, et al.
Published: (2023)
Similar Items
-
Relative Arbitrage Opportunities With Interactions Among N Investors
by: Tomoyuki Ichiba, et al.
Published: (2026) -
Finding the nonnegative minimal solutions of Cauchy PDEs in a volatility-stabilized market
by: Yang, Nicole Tianjiao, et al.
Published: (2024) -
Relative Arbitrage Opportunities in an Extended Mean Field System
by: Yang, Nicole Tianjiao, et al.
Published: (2023) -
Relative Arbitrage Opportunities with Interactions among $N$ Investors
by: Ichiba, Tomoyuki, et al.
Published: (2020) -
Unbiased Rough Integrators and No Free Lunch in Rough-Path-Based Market Models
by: Ichiba, Tomoyuki, et al.
Published: (2025)