  In this work, we study an equilibrium-based continuous asset pricing problem
which seeks to form a price process endogenously by requiring it to balance the
flow of sales-and-purchase orders in the exchange market, where a large number
of agents are interacting through the market price. Adopting a mean field game
(MFG) approach, we find a special form of forward-backward stochastic
differential equations of McKean-Vlasov type with common noise whose solution
provides a good approximate of the market price. We show the convergence of the
net order flow to zero in the large N-limit and get the order of convergence in
N under some conditions. We also extend the model to a setup with multiple
populations where the agents within each population share the same cost and
coefficient functions but they can be different population by population.
