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We propose a mean-field game model to study the price formation of an asset negotiated in an order book, considering costs stemming from limited liquidity. We derive an analytical formula for the formed price in terms of the realized order flow. Finally, we numerically assess our results with a large experiment using high-frequency data from ten stocks listed in the NASDAQ.

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Price Formation in Financial Markets: A Mean-Field Game Perspective

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  • 发表日期：

    2026年

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  • David Evangelista,
  • Yuri Saporito,
  • Yuri Thamsten

摘要

We propose a mean-field game model to study the price formation of an asset negotiated in an order book, considering costs stemming from limited liquidity. We derive an analytical formula for the formed price in terms of the realized order flow. Finally, we numerically assess our results with a large experiment using high-frequency data from ten stocks listed in the NASDAQ.