Liquidity generated by heterogeneous beliefs and costly estimations

DOI10.3934/NHM.2012.7.349MaRDI QIDQ1941602zbMATH OpenOpenAlexFDO

Authors Min Shen, Gabriel Turinici

Publication date 21 March 2013

Published in Networks and Heterogeneous Media (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/nhm.2012.7.349

zbMATH Keywords

heterogeneous beliefsheterogeneous liquidityinformation costliquidity modelliquidity riskmean field gamesresearch costtrading volumetransaction volume

Mathematics Subject Classification ID

Stochastic games, stochastic differential games (91A15) Differential games (aspects of game theory) (91A23) Applications of game theory (91A80) Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26) Heterogeneous agent models (91B69) Statistical methods; risk measures (91G70)

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(7)

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• Existence of an equilibrium for lower semicontinuous information acquisition functions
• Competitive rational expectations equilibria without apology
• Mean-field games with differing beliefs for algorithmic trading
• Asset pricing with heterogeneous beliefs and illiquidity
• Dynamic programming for mean-field type control
• Dynamic programming for mean-field type control

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