The potential method for price-formation models

Yuri Ashrafyan; Tigran Bakaryan; Diogo Gomes; Julian Gutierrez

doi:10.1109/CDC51059.2022.9992621

The potential method for price-formation models

Yuri Ashrafyan^*, Tigran Bakaryan, Diogo Gomes, Julian Gutierrez

^*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

1 Scopus citations

Abstract

We consider the mean-field game price formation model introduced by Gomes and Saúde. In this MFG model, agents trade a commodity whose supply can be deterministic or stochastic. Agents maximize profit, taking into account current and future prices. The balance between supply and demand determines the price. We introduce a potential function that converts the MFG into a convex variational problem. This variational formulation is particularly suitable for machine learning approaches. Here, we use a recurrent neural network to solve this problem. In the last section of the paper, we compare our results with known analytical solutions.

Original language	English (US)
Title of host publication	2022 IEEE 61st Conference on Decision and Control, CDC 2022
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	7565-7570
Number of pages	6
ISBN (Electronic)	9781665467612
DOIs	https://doi.org/10.1109/CDC51059.2022.9992621
State	Published - 2022
Event	61st IEEE Conference on Decision and Control, CDC 2022 - Cancun, Mexico Duration: Dec 6 2022 → Dec 9 2022

Publication series

Name	Proceedings of the IEEE Conference on Decision and Control
Volume	2022-December
ISSN (Print)	0743-1546
ISSN (Electronic)	2576-2370

Conference

Conference	61st IEEE Conference on Decision and Control, CDC 2022
Country/Territory	Mexico
City	Cancun
Period	12/6/22 → 12/9/22

Bibliographical note

Publisher Copyright:
© 2022 IEEE.

Keywords

Lagrange multiplier
Mean Field Games
Potential Function
Price formation

ASJC Scopus subject areas

Control and Systems Engineering
Modeling and Simulation
Control and Optimization

Access to Document

10.1109/CDC51059.2022.9992621

Cite this

Ashrafyan, Y., Bakaryan, T., Gomes, D., & Gutierrez, J. (2022). The potential method for price-formation models. In 2022 IEEE 61st Conference on Decision and Control, CDC 2022 (pp. 7565-7570). (Proceedings of the IEEE Conference on Decision and Control; Vol. 2022-December). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/CDC51059.2022.9992621

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title = "The potential method for price-formation models",

abstract = "We consider the mean-field game price formation model introduced by Gomes and Sa{\'u}de. In this MFG model, agents trade a commodity whose supply can be deterministic or stochastic. Agents maximize profit, taking into account current and future prices. The balance between supply and demand determines the price. We introduce a potential function that converts the MFG into a convex variational problem. This variational formulation is particularly suitable for machine learning approaches. Here, we use a recurrent neural network to solve this problem. In the last section of the paper, we compare our results with known analytical solutions.",

keywords = "Lagrange multiplier, Mean Field Games, Potential Function, Price formation",

author = "Yuri Ashrafyan and Tigran Bakaryan and Diogo Gomes and Julian Gutierrez",

note = "Publisher Copyright: {\textcopyright} 2022 IEEE.; 61st IEEE Conference on Decision and Control, CDC 2022 ; Conference date: 06-12-2022 Through 09-12-2022",

year = "2022",

doi = "10.1109/CDC51059.2022.9992621",

language = "English (US)",

series = "Proceedings of the IEEE Conference on Decision and Control",

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Ashrafyan, Y, Bakaryan, T, Gomes, D & Gutierrez, J 2022, The potential method for price-formation models. in 2022 IEEE 61st Conference on Decision and Control, CDC 2022. Proceedings of the IEEE Conference on Decision and Control, vol. 2022-December, Institute of Electrical and Electronics Engineers Inc., pp. 7565-7570, 61st IEEE Conference on Decision and Control, CDC 2022, Cancun, Mexico, 12/6/22. https://doi.org/10.1109/CDC51059.2022.9992621

The potential method for price-formation models. / Ashrafyan, Yuri; Bakaryan, Tigran; Gomes, Diogo et al.
2022 IEEE 61st Conference on Decision and Control, CDC 2022. Institute of Electrical and Electronics Engineers Inc., 2022. p. 7565-7570 (Proceedings of the IEEE Conference on Decision and Control; Vol. 2022-December).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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AU - Bakaryan, Tigran

AU - Gomes, Diogo

AU - Gutierrez, Julian

PY - 2022

Y1 - 2022

N2 - We consider the mean-field game price formation model introduced by Gomes and Saúde. In this MFG model, agents trade a commodity whose supply can be deterministic or stochastic. Agents maximize profit, taking into account current and future prices. The balance between supply and demand determines the price. We introduce a potential function that converts the MFG into a convex variational problem. This variational formulation is particularly suitable for machine learning approaches. Here, we use a recurrent neural network to solve this problem. In the last section of the paper, we compare our results with known analytical solutions.

AB - We consider the mean-field game price formation model introduced by Gomes and Saúde. In this MFG model, agents trade a commodity whose supply can be deterministic or stochastic. Agents maximize profit, taking into account current and future prices. The balance between supply and demand determines the price. We introduce a potential function that converts the MFG into a convex variational problem. This variational formulation is particularly suitable for machine learning approaches. Here, we use a recurrent neural network to solve this problem. In the last section of the paper, we compare our results with known analytical solutions.

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KW - Mean Field Games

KW - Potential Function

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DO - 10.1109/CDC51059.2022.9992621

M3 - Conference contribution

AN - SCOPUS:85147037803

T3 - Proceedings of the IEEE Conference on Decision and Control

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BT - 2022 IEEE 61st Conference on Decision and Control, CDC 2022

PB - Institute of Electrical and Electronics Engineers Inc.

T2 - 61st IEEE Conference on Decision and Control, CDC 2022

Y2 - 6 December 2022 through 9 December 2022

ER -

The potential method for price-formation models

Abstract

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Bibliographical note

Keywords

ASJC Scopus subject areas

Access to Document

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