Related papers: Diversification and limited information in the Kel…

It is a common misconception that in order to make consistent profits as a trader, one needs to posses some extra information leading to an asset value estimation more accurate than that reflected by the current market price. While the idea…

The timing of strategic exit is one of the most important but difficult business decisions, especially under competition and uncertainty. Motivated by this problem, we examine a stochastic game of exit in which players are uncertain about…

Equilibrium in Economics has been seldom addressed in a situation where some variables are discrete. This work introduces a problem related to lot-sizing with several players, and analyses some strategies which are likely to be found in…

Simultaneous reproduction of all financial stylized facts is so difficult that most existing stochastic process-based and agent-based models are unable to achieve the goal. In this study, by extending the decision-making structure of…

We study information design in games where players choose from a continuum of actions and have continuously differentiable payoffs. We show that an information structure is optimal when the equilibrium it induces can also be implemented in…

This paper considers finitely many investors who perform mean-variance portfolio selection under relative performance criteria. That is, each investor is concerned about not only her terminal wealth, but how it compares to the average…

We study a complementarity game as a systematic tool for the investigation of the interplay between individual optimization and population effects and for the comparison of different strategy and learning schemes. The game randomly pairs…

We unify standard frameworks for approachability both in full or partial monitoring by defining a new abstract game, called the "purely informative game", where the outcome at each stage is the maximal information players can obtain,…

A general model for zero-sum stochastic games with asymmetric information is considered. In this model, each player's information at each time can be divided into a common information part and a private information part. Under certain…

We propose a game-theoretic framework that incorporates both incomplete information and general ambiguity attitudes on factors external to all players. Our starting point is players' preferences on payoff-distribution vectors, essentially…

The analysis of large population economies with incomplete information often entails the integration of a continuum of random variables. We showcase the usefulness of the integral notion \`a la Pettis (1938) to study such models. We present…

This paper considers an infinitely repeated three-player Bayesian game with lack of information on two sides, in which an informed player plays two zero-sum games simultaneously at each stage against two uninformed players. This is a…

Game theory is central to the understanding of competitive interactions arising in many fields, from the social and physical sciences to economics. Recently, as the definition of information is generalized to include entangled quantum…

We present results on simulations of a stock market with heterogeneous, cumulative information setup. We find a non-monotonic behaviour of traders' returns as a function of their information level. Particularly, the average informed agents…

We extend the formalism of Conjectural Variations games to Stackelberg games involving multiple leaders and a single follower. To solve these nonconvex games, a common assumption is that the leaders compute their strategies having perfect…

Matrix games constitute a fundamental problem of game theory and describe a situation of two players with completely conflicting interests. We show how methods from statistical mechanics can be used to investigate the statistical properties…

Gamification has the potential to make significant contributions to financial product delivery, Fintech services, and inclusive growth. The integration of gamification into FinTech applications has shown a positive correlation with the…

We consider a generalization of the classical 100 Prisoner problem and its variant, involving empty boxes, whereby winning probabilities for a team depend on the number of attempts, as well as on the number of winners. We call this the…

This paper investigates the equilibrium interactions between trading targets and private information in a multi-period Kyle (1985) market. There are two investors who each follow dynamic trading strategies: A strategic portfolio rebalancer…

We formulate an adaptive version of Kelly's horse model in which the gambler learns from past race results using Bayesian inference. A known asymptotic scaling for the difference between the growth rate of the gambler and the optimal growth…