ワーキングペーパー

数量ファイナンス

F-series

作成:

番号:CARF-F-545

Equilibrium Pricing of Securities in the Co-presence of Cooperative and Non-cooperative Populations

著者:Masaaki Fujii

Abstract

In this work, we develop an equilibrium model for price formation of securities in a market composed of two populations of different types: the first one consists of cooperative agents, while the other one consists of non-cooperative agents. The trading of every cooperative member is assumed to be coordinated by a central planner. In the large population limit, the problem for the central planner is shown to be a conditional extended mean-field control. In addition to the convexity assumptions, if the relative size of the cooperative population is small enough, then we are able to show the existence of a unique equilibrium for both the finite-agent and the mean-field models. The strong convergence to the mean-field model is also proved under the same conditions.

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