Related papers: Diversification and limited information in the Kel…
This paper studies correlations among independently administered hypothetical tests of a simple interactive type, and demonstrates that correlations arising in quantum information theoretic variants of these tests can exhibit a striking…
This thesis presents some geometric insights into three different types of two player prediction games -- namely general learning task, prediction with expert advice, and online convex optimization. These games differ in the nature of the…
The classical, complete-information two-player games assume that the problem data (in particular the payoff matrix) is known exactly by both players. In a now famous result, Nash has shown that any such game has an equilibrium in mixed…
We propose a logical framework combining a game-theoretic study of abilities of agents to achieve quantitative objectives in multi-player games by optimizing payoffs or preferences on outcomes with a logical analysis of the abilities of…
Wealth inequality is an important matter for economic theory and policy. Ongoing debates have been discussing recent rise in wealth inequality in connection with recent development of active financial markets around the world. Existing…
We study how to assess the potential benefit of diversifying an equity portfolio by investing within and across equity sectors. We analyse 20 years of US stock price data, which includes the global financial crisis (GFC) and the COVID-19…
In this paper, we study a game with positive or plus infinite expectation and determine the optimal proportion of investment for maximizing the limit expectation of growth rate per attempt. With this objective, we introduce a new pricing…
We give elementary examples within a framework for studying decisions under uncertainty where probabilities are only roughly known. The framework, in gambling terms, is that the size of a bet is proportional to the gambler's perceived…
This paper relaxes the common prior assumption in the public and private information game of Morris and Shin (2000, 2004). For the generalized game, where the agent's prior expectations are heterogenous, it derives a sharp condition for the…
We consider 2-player stochastic games with perfectly observed actions, and study the limit, as the discount factor goes to one, of the equilibrium payoffs set. In the usual setup where current states are observed by the players, we show…
We construct several definitions of imbalance and playability, both of which are related to the existence of dominated strategies. Specifically, a maximally balanced game and a playable game cannot have dominated strategies for any player.…
We study the risk criterion for investments based on the drawdown from the maximal value of the capital in the past. Depending on investor's risk attitude, thus his risk exposure, we find that the distribution of these drawdowns follows a…
We propose a payoff function extending Minority Games (MG) that captures the competition between agents to make money. In constrast with previous MG, the best strategies are not always targeting the minority but are shifting…
Recent development in quantum computation and quantum information theory allows to extend the scope of game theory for the quantum world. The authors have recently proposed a quantum description of financial market in terms of quantum game…
We consider the problem of interpolating an unknown multivariate polynomial with coefficients taken from a finite field or as numerical approximations of complex numbers. Building on the recent work of Garg and Schost, we improve on the…
Graph games of infinite length are a natural model for open reactive processes: one player represents the controller, trying to ensure a given specification, and the other represents a hostile environment. The evolution of the system…
This paper studies the time-varying structure of the equity market with respect to market capitalization. First, we analyze the distribution of the 100 largest companies' market capitalizations over time, in terms of inequality,…
We report on a technique based on multi-agent games which has potential use in the prediction of future movements of financial time-series. A third-party game is trained on a black-box time-series, and is then run into the future to extract…
The aim of the strategic analysis is to (simply) carry out the game between the implementing body and possible links to the existing market situation. We are therefore playing a strategic game between us and the outside world. This…
Dynamic zero-sum games are an important class of problems with applications ranging from evasion-pursuit and heads-up poker to certain adversarial versions of control problems such as multi-armed bandit and multiclass queuing problems.…