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q-fin.MF2025
Heterogenous Macro-Finance Model: A Mean-field Game Approach
Hoang Vu, Tomoyuki Ichiba
We investigate the full dynamics of capital allocation and wealth distribution of heterogeneous agents in a frictional economy during booms and busts using tools from mean-field ga…
q-fin.MF2023
Relative Arbitrage Opportunities in an Extended Mean Field System
Nicole Tianjiao Yang, Tomoyuki Ichiba
This paper studies relative arbitrage opportunities in a market with competitive investors through stochastic differential games in the limit as the number of players tends to infi…