Related papers: On Optimal Pricing Model for Multiple Dealers in a…
This paper deals with an optimal position management problem for a market maker who has to face uncertain customer order flows in an illiquid market, where the market maker's continuous trading incurs a stochastic linear price impact.…
We introduce a system of kinetic equations describing an exchange market consisting of two populations of agents (dealers and speculators) expressing the same preferences for two goods, but applying different strategies in their exchanges.…
We consider a profit maximization problem in an urban mobility on-demand service, of which the operator owns a fleet, provides both exclusive and shared trip services, and dynamically determines prices of offers. With knowledge of the…
This paper studies a class of network games with linear-quadratic payoffs and externalities exerted through a strictly concave interaction function. This class of game is motivated by the diminishing marginal effects with peer influences.…
A model of Boolean agents competing in a market is presented where each agent bases his action on information obtained from a small group of other agents. The agents play a competitive game that rewards those in the minority. After a long…
Traders buy and sell financial instruments in hopes of making profit, and brokers are responsible for the transaction. There are several hypotheses and conspiracy theories arguing that in some situations, brokers want their traders to lose…
Two sellers compete to sell identical products to a single buyer. Each seller chooses an arbitrary mechanism, possibly involving lotteries, to sell their product. The utility-maximizing buyer can choose to participate in one or both…
When sales of a product are affected by randomness in demand, retailers can use dynamic pricing strategies to maximise their profits. In this article the pricing problem is formulated as a stochastic optimal control problem, where the…
This paper studies an online selection problem, where a seller seeks to sequentially sell multiple copies of an item to arriving buyers. We consider an adversarial setting, making no modeling assumptions about buyers' valuations for the…
In this paper, we employ the Heston stochastic volatility model to describe the stock's volatility and apply the model to derive and analyze the optimal trading strategies for dealers in a security market. We also extend our study to option…
Battery participants in performance-based frequency regulation markets must consider the cost of battery aging in their operating strategies to maximize market profits. In this paper we solve this problem by proposing an optimal control…
The data sponsored scheme allows the content provider to cover parts of the cellular data costs for mobile users. Thus the content service becomes appealing to more users and potentially generates more profit gain to the content provider.…
A monopolistic seller aims to sell an indivisible item to multiple potential buyers. Each buyer's valuation depends on their private type and the item's quality. The seller can observe the quality but it is unknown to buyers. This quality…
We investigate approximately optimal mechanisms in settings where bidders' utility functions are non-linear; specifically, convex, with respect to payments (such settings arise, for instance, in procurement auctions for energy). We provide…
This article explores the optimisation of trading strategies in Constant Function Market Makers (CFMMs) and centralised exchanges. We develop a model that accounts for the interaction between these two markets, estimating the conditional…
We consider a setting in which bidders participate in multiple auctions run by different sellers, and optimize their bids for the \emph{aggregate} auction. We analyze this setting by formulating a game between sellers, where a seller's…
We present a polynomial-time algorithm that, given samples from the unknown valuation distribution of each bidder, learns an auction that approximately maximizes the auctioneer's revenue in a variety of single-parameter auction environments…
This is the third paper in a series concerning the game-theoretic aspects of position-building while in competition. The first paper set forth foundations and laid out the essential goal, which is to minimize implementation costs in light…
Alpha signals for statistical arbitrage strategies are often driven by latent factors. This paper analyses how to optimally trade with latent factors that cause prices to jump and diffuse. Moreover, we account for the effect of the trader's…
We study strategic interactions in a broker-mediated market in which agents learn and exploit each other's private information. A broker provides liquidity to an informed trader and to noise traders while managing inventory in a lit market.…