Analysis of the Stock Market Crisis Based on Mean Field Games Concept

We present an approach to describe the Chinese stock market crisis in 2015, where the shock impacts took place. Based on the Pareto demand theory, we use a generalized nonparametric method for constructing economic indices of trading volumes of Chinese investment banking companies whose stock dynamics caused the crisis. The behavior of a large amount of economic agents in the stock market is described by the concept of mean field games (MFGs). We apply this concept to describe the behavior of the economic agents and reproduce the dynamic of the aggregated price index of the main investment banks of China during the crisis period.