Related papers: How brokers can optimally plot against traders
Order matching systems form the backbone of modern equity exchanges, used by millions of investors daily. Thus, their operation is strictly controlled through numerous regulatory directives to ensure that markets are fair and transparent.…
In online betting, the bookmaker can update the payoffs it offers on a particular event many times before the event takes place, and the updated payoffs may depend on the bets accumulated thus far. We study the problem of bookmaking with…
We study optimal risk sharing among $n$ agents endowed with distortion risk measures. Our model includes market frictions that can either represent linear transaction costs or risk premia charged by a clearing house for the agents. Risk…
In electricity markets, retailers or brokers want to maximize profits by allocating tariff profiles to end consumers. One of the objectives of such demand response management is to incentivize the consumers to adjust their consumption so…
This paper studies the effects of altruism and spitefulness in a two-sided market in which agents behave strategically and trade according to the Shapley-Shubik mechanism. By assuming that altruistic agents have concerns for others on the…
Algorithmic trading in modern financial markets is widely acknowledged to exhibit strategic, game-theoretic behaviors whose complexity can be difficult to model. A recent series of papers (Chriss, 2024b,c,a, 2025) has made progress in the…
A hypothetical risk-neutral agent who trades to maximize the expected profit of the next trade will approximately exhibit long-term optimal behavior as long as this agent uses the vector $p = \nabla V (t, x)$ as effective microstructure…
The online sports gambling industry employs teams of data analysts to build forecast models that turn the odds at sports games in their favour. While several betting strategies have been proposed to beat bookmakers, from expert prediction…
We construct an empirically founded model of a repo trade intermediated by two broker-dealers and prove multiple equilibrium and the existence of equilibrium at the joint profit maximizing volume of trade. We then present a smart contract…
We study the optimal pricing strategy of a monopolist selling homogeneous goods to customers over multiple periods. The customers choose their time of purchase to maximize their payoff that depends on their valuation of the product, the…
I derive practical formulas for optimal arrangements between sophisticated stock market investors (namely, continuous-time Kelly gamblers or, more generally, CRRA investors) and the brokers who lend them cash for leveraged bets on a high…
We provide a natural learning process in which a financial trader without a risk receives a gain in case when Stock Market is inefficient. In this process, the trader rationally choose his gambles using a prediction made by a randomized…
An investor with constant relative risk aversion and an infinite planning horizon trades a risky and a safe asset with constant investment opportunities, in the presence of small transaction costs and a binding exogenous portfolio…
We consider the problem of learning from revealed preferences in an online setting. In our framework, each period a consumer buys an optimal bundle of goods from a merchant according to her (linear) utility function and current prices,…
We consider the problem of the optimal trading strategy in the presence of a price predictor, linear trading costs and a quadratic risk control. The solution is known to be a band system, a policy that induces a no-trading zone in the…
We consider the problem of a single seller repeatedly selling a single item to a single buyer (specifically, the buyer has a value drawn fresh from known distribution $D$ in every round). Prior work assumes that the buyer is fully rational…
We use a deep neural network to generate controllers for optimal trading on high frequency data. For the first time, a neural network learns the mapping between the preferences of the trader, i.e. risk aversion parameters, and the optimal…
We study a dynamic portfolio optimization problem related to convergence trading, which is an investment strategy that exploits temporary mispricing by simultaneously buying relatively underpriced assets and selling short relatively…
We explore various extensions of Challet and Zhang's Minority Game in an attempt to gain insight into the dynamics underlying financial markets. First we consider a heterogeneous population where individual traders employ differing `time…
This paper aims to investigate and achieve seller-side fairness within online marketplaces, where many sellers and their items are not sufficiently exposed to customers in an e-commerce platform. This phenomenon raises concerns regarding…