# Price formation in mean field games under market frictions and social interactions

## Martedi' 7 Giugno 2011 - Marco Tolotti

ARGOMENTI: Seminari

SEMINARI DI CALCOLO DELLE PROBABILITÀ
Il giorno Martedi' 7 giugno 2011 alle ore 12:30, nell'aula 2BC60 della Torre Archimede, il Dr. Marco Tolotti dell'Universita degli Studi di Venezia, terra un seminario dal titolo "Price formation in mean field games under market frictions and social interactions" (joint work with P. Dai Pra, F. Fontini, E. Sartori).

-Abstract
We propose a simple binary mean field game, where N agents may decide whether to trade or not a share of a risky asset. The price of the asset is endogenously determined taking into account the demand for the asset and transaction costs. In our model the utility of each agent depends on the aggregate demand, on the past actions and on a friction term (transaction cost). The explicit dependence on past actions, a sort of memory term, naturally induces a dynamic evolution of the system. We study the dynamics and the static of the aggregate demand for the asset and the emerging equilibrium price. In particular, we show that multiple Nash equilibria may arise even in the asymptotic model with infinite agents.

Rif. int. P. Dai Pra