Pra, Paolo Dai; Fontini, Fulvio; Sartori, Elena; … - Dipartimento di Management, Università Ca' Foscari Venezia - 2011
In this paper we propose a simple binary mean field game, where N agents may decide whether to trade or not a share of a risky asset in a liquid market. The asset's returns are endogenously determined taking into account demand and transaction costs. Agents' utility depends on the aggregate...