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arXiv · 2209.12639

Equilibrium pricing of securities in the co-presence of cooperative and non-cooperative populations

Masaaki Fujii
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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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Masaaki Fujii. 2022-09-26. Equilibrium pricing of securities in the co-presence of cooperative and non-cooperative populations. https://arxiv.org/abs/2209.12639

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