Related papers: Optimal Execution in a Multiplayer Model of Transi…
Nash equilibrium is one of the most influential solution concepts in game theory. With the development of computer science and artificial intelligence, there is an increasing demand on Nash equilibrium computation, especially for Internet…
We study the perfect information Nash equilibrium between a broker and her clients -- an informed trader and an uniformed trader. In our model, the broker trades in the lit exchange where trades have instantaneous and transient price impact…
We consider the process of bidding by electricity suppliers in a day-ahead market context where each supplier bids a linear non-decreasing function of her generating capacity with the goal of maximizing her individual profit given other…
We formulate and solve a multi-player stochastic differential game between financial agents who seek to cost-efficiently liquidate their position in a risky asset in the presence of jointly aggregated transient price impact, along with…
We investigate the well-posedness in the Hadamard sense and the absence of price manipulation in the optimal execution problem within the Almgren-Chriss framework, where the temporary and permanent impact parameters vary deterministically…
In a continuous-time model with multiple assets described by c\`{a}dl\`{a}g processes, this paper characterizes superhedging prices, absence of arbitrage, and utility maximizing strategies, under general frictions that make execution prices…
In this paper we derive the optimal execution trajectory for a trader who wishes to buy or sell a large position of shares which evolve as a geometric Brownian process in contrast to the arithmetic model which prevails in the existing…
We study the inefficiency of mixed equilibria, expressed as the price of anarchy, of all-pay auctions in three different environments: combinatorial, multi-unit and single-item auctions. First, we consider item-bidding combinatorial…
We study the strategic purchasing of priorities in a time-dependent accumulating priority M/G/$1$ queue. We formulate a non-cooperative game in which customers purchase priority coefficients with the goal of reducing waiting costs in…
Decentralized decision making in multi--product firms can lead to efficiency losses when autonomous decision makers fail to internalize cross--product demand interactions. This paper quantifies the magnitude of such losses by analyzing the…
In this paper we introduce a capacity allocation game which models the problem of maximizing network utility from the perspective of distributed noncooperative agents. Motivated by the idea of self-managed networks, in the developed…
We study interactions with uncertainty about demand sensitivity. In our solution concept (1) firms choose seemingly-optimal strategies given the level of sophistication of their data analytics, and (2) the levels of sophistication form best…
The all-pay auction, a classic competitive model, is widely applied in scenarios such as political elections, sports competitions, and research and development, where all participants pay their bids regardless of winning or losing. However,…
We establish Nash equilibrium learning in large populations of noncooperative, strategic agents. Our analysis considers the broadest class to date of payoff mechanisms with first-order modifications, capable of modeling bounded rationality…
We study a multiplicative transient price impact model for an illiquid financial market, where trading causes price impact which is multiplicative in relation to the current price, transient over time with finite rate of resilience, and…
This paper studies the optimal investment problem with random endowment in an inventory-based price impact model with competitive market makers. Our goal is to analyze how price impact affects optimal policies, as well as both pricing rules…
We study an optimal execution strategy for purchasing a large block of shares over a fixed time horizon. The execution problem is subject to a general price impact that gradually dissipates due to market resilience. We allow for general…
We advance empirical equilibrium analysis (Velez and Brown, 2020, arXiv:1907.12408) of the winner-bid and loser-bid auctions for the dissolution of a partnership. We show, in a complete information environment, that even though these…
In socio-technical multi-agent systems, deception exploits privileged information to induce false beliefs in "victims," keeping them oblivious and leading to outcomes detrimental to them or advantageous to the deceiver. We consider…
Estimating market impact and transaction costs of large trades (metaorders) is a very important topic in finance. However, using models of price and trade based on public market data provide average price trajectories which are…