主要参与者的均衡价格形成及其平均场极限
Equilibrium Price Formation with a Major Player and its Mean Field Limit
摘要：
在这篇文章中，我们考虑了一个不完全证券市场的均衡价格形成问题，该市场由一个主要的金融公司和大量的小公司组成。他们通过证券交易所进行连续交易，以最大限度地降低成本，同时面临特殊和常见的噪音以及来自个人客户的随机订单流。均衡价格过程，平衡需求和供应的证券，包括主要公司的价格影响的函数形式，是内生的，在有限人口规模的市场和相应的平均场限制。
英文摘要：
In this article, we consider the problem of equilibrium price formation in an incomplete securities market consisting of one major financial firm and a large number of minor firms. They carry out continuous trading via the securities exchange to minimize their cost while facing idiosyncratic and common noises as well as stochastic order flows from their individual clients. The equilibrium price process that balances demand and supply of the securities, including the functional form of the price impact for the major firm, is derived endogenously both in the market of finite population size and in the corresponding mean field limit.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
