Equilibrium price formation with a major player and its mean field limit

In this article, we consider the problem of equilibrium price formation in an incomplete securities market consisting one major financial firm and a large number minor firms. They carry out continuous trading via exchange to minimize their cost while facing idiosyncratic common noises as well stochastic order flows from individual clients. The process that balances demand supply securities, including functional form impact for firm, is derived endogenouslyboth finite population size corresponding mean field limit.