Equilibrium Pricing of Securities in the Co-Presence of Cooperative and Non-Cooperative Populations

Masaaki Fujii
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Masaaki Fujii: Faculty of Economics, The University of Tokyo

No CIRJE-F-1201, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

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.

Pages: 41 pages
Date: 2022-09
New Economics Papers: this item is included in nep-gth
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2022cf1201

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