Related papers: Optimal Execution in a Multiplayer Model of Transi…
In strategic games such as the prisoner's dilemma, allowing players to make binding offers of utility transfers before play has been shown to alter incentives and potentially support cooperative outcomes. These preplay exchange mechanisms…
We study optimal liquidation in the presence of linear temporary and transient price impact along with taking into account a general price predicting finite-variation signal. We formulate this problem as minimization of a cost-risk…
This paper investigates the equilibrium convergence properties of a proposed algorithm for potential games with continuous strategy spaces in the presence of feedback delays, a main challenge in multi-agent systems that compromises the…
This paper studies Markov perfect equilibria in a repeated duopoly model where sellers choose algorithms. An algorithm is a mapping from the competitor's price to own price. Once set, algorithms respond quickly. Customers arrive randomly…
Order placement tactics play a crucial role in high-frequency trading algorithms and their design is based on understanding the dynamics of the order book. Using high quality high-frequency data and a set of microstructural features, we…
We broaden the basis of non-cooperative game theory by considering miscoordination on a solution concept. For any solution concept, we extend the solution set of a strategic-form game to a transition set. This set contains profiles where…
Two issues of algorithmic collusion are addressed in this paper. First, we show that in a general class of symmetric games, including Prisoner's Dilemma, Bertrand competition, and any (nonlinear) mixture of first and second price auction,…
Auctions are modeled as Bayesian games with continuous type and action spaces. Determining equilibria in auction games is computationally hard in general and no exact solution theory is known. We introduce an algorithmic framework in which…
Much work has been done on the computation of market equilibria. However due to strategic play by buyers, it is not clear whether these are actually observed in the market. Motivated by the observation that a buyer may derive a better…
In this paper we present a new competitive packet routing model with edge priorities. We consider players that route selfishly through a network over time and try to reach their destinations as fast as possible. If the number of players who…
Executing even moderately large derivatives orders can be expensive and risky; it's hard to balance the uncertainty of working an order over time versus paying a liquidity premium for immediate execution. Here, we introduce the Time Is…
We deal with the optimal execution problem when the broker's goal is to reach a performance barrier avoiding a downside barrier. The performance is provided by the wealth accumulated by trading in the market, the shares detained by the…
Many policy problems involve designing individualized treatment allocation rules to maximize the equilibrium social welfare of interacting agents. Focusing on large-scale simultaneous decision games with strategic complementarities, we…
Trading frictions are stochastic. They are, moreover, in many instances fast-mean reverting. Here, we study how to optimally trade in a market with stochastic price impact and study approximations to the resulting optimal control problem…
In this paper the problem of optimal derivative design, profit maximization and risk minimization under adverse selection when multiple agencies compete for the business of a continuum of heterogenous agents is studied. The presence of ties…
Even when confronted with the same data, agents often disagree on a model of the real-world. Here, we address the question of how interacting heterogenous agents, who disagree on what model the real-world follows, optimize their trading…
We give a complete solution to the problem of minimizing the expected liquidity costs in presence of a general drift when the underlying market impact model has linear transient price impact with exponential resilience. It turns out that…
We consider a one-period Kyle (1985) framework where the insider can be subject to a penalty if she trades. We establish existence and uniqueness of equilibrium for virtually any penalty function when noise is uniform. In equilibrium, the…
We consider an inventory competition game between two firms. The question we address is this: If players do not know the opponent's action and opponent's utility function can they learn to play the Nash policy in a repeated game by…
A Nash Equilibrium (NE) is a strategy profile resilient to unilateral deviations, and is predominantly used in the analysis of multiagent systems. A downside of NE is that it is not necessarily stable against deviations by coalitions. Yet,…