This paper looks at a general framework for mean-field games with ambiguity averse players based on the probabilistic framework described in Carmona (2013). A framework for mean-field games with ambiguity averse players is presented, using a version of the stochastic maximum principle to find...

Interbank borrowing and lending may induce systemic risk into financial markets. A simple model of this is to assume that log-monetary reserves are coupled, and that banks can also borrow/lend from/to a central bank. When all banks optimize their cost of borrowing and lending, this leads to a...

Algorithmic trading strategies for execution often focus on the individual agent who is liquidating/acquiring shares. When generalized to multiple agents, the resulting stochastic game is notoriously difficult to solve in closed-form. Here, we circumvent the difficulties by investigating a...