Price formation under asymmetry of information - a mean-field approach
In financial markets, quantifying the information possessed by an agent trading an asset is a crucial task, especially when there is no homogeneity between the amount of information that can be accessed by every player. Our purpose is to study the behaviour of an equilibrium price determined by the market clearing condition (i.e. the balance between the demand and the supply) between financial agents who can observe different amounts of information. We focus on a market determined by one asset that is traded by N less informed agents and one major agent. We prove the existence of a mean-field solution to the equation for the price process when N tends to infinity. We justify the construction of the price process in the mean-field limit, showing that this price process satisfies a weak form of the market clearing condition.
Area: CS55 - New probabilistic approaches in mathematical finance (Lorenzo Torricelli)
Keywords: mean-field_games, market_clearing_condition, asymmetric_information, weak_solutions.
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