Related papers: Optimal Execution in a Multiplayer Model of Transi…
We provide a strategic model of the formation of production networks that subsumes the standard general equilibrium approach. The objective of firms in our setting is to choose their supply relationships so as to maximize their profit at…
In this paper we provide a high performance solution to the problem of committing transactions while enforcing a predefined order. We provide the design and implementation of three algorithms, which deploy a specialized cooperative…
Distributed Nash equilibrium (NE) seeking problem for multi-coalition games has attracted increasing attention in recent years, but the research mainly focuses on the case without agreement demand within coalitions. This paper considers a…
Central results in economics guarantee the existence of efficient equilibria for various classes of markets. An underlying assumption in early work is that agents are price-takers, i.e., agents honestly report their true demand in response…
In the present paper, we study the optimal execution problem under stochastic price recovery based on limit order book dynamics. We model price recovery after execution of a large order by accelerating the arrival of the refilling order,…
We study partial information Nash equilibrium between a broker and an informed trader. In this setting, the informed trader, who possesses knowledge of a trading signal, trades multiple assets with the broker in a dealer market.…
This paper focuses on the coordination of a large population of dynamic agents with private information over multiple periods. Each agent maximizes the individual utility, while the coordinator determines the market rule to achieve group…
We study a toy two-player game for periodic double auction markets to generate liquidity. The game has imperfect information, which allows us to link market spreads with signal strength. We characterize Nash equilibria in cases with or…
This study investigates the development of an optimal execution strategy through reinforcement learning, aiming to determine the most effective approach for traders to buy and sell inventory within a finite time horizon. Our proposed model…
Tie-line scheduling in multi-area power systems in the US largely proceeds through a market-based mechanism called Coordinated Transaction Scheduling (CTS). We analyze this market mechanism through a game-theoretic lens. Our analysis…
The main goal of this paper is to develop a theory of inference of player valuations from observed data in the generalized second price auction without relying on the Nash equilibrium assumption. Existing work in Economics on inferring…
This paper studies the fill probabilities of limit orders placed at different price levels in a limit order book. These probabilities play a central role in execution optimization, as limit orders are not guaranteed to be executed and…
An important part of the Smart Grid literature on residential Demand Response deals with game-theoretic consumption models. Among those papers, the hourly billing model is of special interest as an intuitive and fair mechanism. We focus on…
We study a new kind of non-zero-sum stochastic differential game with mixed impulse/switching controls, motivated by strategic competition in commodity markets. A representative upstream firm produces a commodity that is used by a…
In this research, we develop a trading strategy for the discrete-time optimal liquidation problem of large order trading with different market microstructures in an illiquid market. In this framework, the flow of orders can be viewed as a…
We develop a general game-theoretic framework for reasoning about strategic agents performing possibly costly computation. In this framework, many traditional game-theoretic results (such as the existence of a Nash equilibrium) no longer…
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.…
We analyze a tractable model of a limit order book on short time scales, where the dynamics are driven by stochastic fluctuations between supply and demand. We establish the existence of a limiting distribution for the highest bid, and for…
Agents attempt to maximize expected profits earned by selling multiple units of a perishable product where their revenue streams are affected by the prices they quote as well as the distribution of other prices quoted in the market by other…
In network formation games, agents form edges with each other to maximize their utility. Each agent's utility depends on its private beliefs and its edges in the network. Strategic agents can misrepresent their beliefs to get a better…