Type
ArticleAuthors
Gomes, Diogo A.
Saúde, João
KAUST Department
Applied Mathematics and Computational Science ProgramComputer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
Date
2020-02-17Online Publication Date
2020-02-17Print Publication Date
2021-03Embargo End Date
2021-02-17Permanent link to this record
http://hdl.handle.net/10754/661572
Metadata
Show full item recordAbstract
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.Citation
Gomes, D. A., & Saúde, J. (2020). A Mean-Field Game Approach to Price Formation. Dynamic Games and Applications. doi:10.1007/s13235-020-00348-xSponsors
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.Publisher
Springer NatureJournal
Dynamic Games and ApplicationsarXiv
1807.07088Additional Links
http://link.springer.com/10.1007/s13235-020-00348-xae974a485f413a2113503eed53cd6c53
10.1007/s13235-020-00348-x