3 papers
q-fin.MF2025
Mean-Field Price Formation on Trees with a Network of Relative Performance Concerns
Masaaki Fujii
Financial firms and institutional investors are routinely evaluated based on their performance relative to their peers. These relative performance concerns significantly influence…
q-fin.MF2025
Mean-Field Price Formation on Trees with Multi-Population and Non-Rational Agents
Masaaki Fujii
This work solves the equilibrium price formation problem for the risky stock by combining mean-field game theory with the binomial tree framework, adapting the classic approach of…
q-fin.MF2024
Mean field equilibrium asset pricing model with habit formation
Masaaki Fujii, Masashi Sekine
This paper presents an asset pricing model in an incomplete market involving a large number of heterogeneous agents based on the mean field game theory. In the model, we incorporat…