Equilibrium Pricing of Securities in the Copresence of Cooperative and Noncooperative Populations
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 noncooperative 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 meanfield 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 finiteagent and the meanfield models. The strong convergence to the meanfield model is also proved under the same conditions.
 Publication:

arXiv eprints
 Pub Date:
 September 2022
 DOI:
 10.48550/arXiv.2209.12639
 arXiv:
 arXiv:2209.12639
 Bibcode:
 2022arXiv220912639F
 Keywords:

 Quantitative Finance  Mathematical Finance;
 Economics  General Economics;
 Quantitative Finance  Trading and Market Microstructure;
 91A15;
 49N80;
 49N70;
 91B50
 EPrint:
 38 pages