Related papers: Optimal Execution in a Multiplayer Model of Transi…
We consider a resource allocation problem where individual users wish to send data across a network to maximize their utility, and a cost is incurred at each link that depends on the total rate sent through the link. It is known that as…
We present a simple dynamic equilibrium model for an online exchange where both buyers and sellers arrive according to a exogenously defined stochastic process. The structure of this exchange is motivated by the limit order book mechanism…
We consider a large queueing system that consists of many strategic servers that are weakly interacting. Each server processes jobs from its unique critically loaded buffer and controls the rate of arrivals and departures associated with…
To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is influenced by the characteristics of the order flow and…
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…
We consider a game of decentralized timing of jobs to a single server (machine) with a penalty for deviation from a due date, and no delay costs. The jobs' sizes are homogeneous and deterministic. Each job belongs to a single decision…
Nash equilibrium serves as a fundamental mathematical tool in economics and game theory. However, it classically assumes knowledge of player utilities, whereas economics generally regards preferences as more fundamental. To leverage…
We study the performance of approximate Nash equilibria for linear congestion games. We consider how much the price of anarchy worsens and how much the price of stability improves as a function of the approximation factor $\epsilon$. We…
Power system operators and electric utility companies often impose a coincident peak demand charge on customers when the aggregate system demand reaches its maximum. This charge incentivizes customers to strategically shift their peak usage…
We consider a queuing network that opens at a specified time, where customers are non-atomic and belong to different classes. Each class has its own route, and as is typical in the literature, the costs are a linear function of waiting and…
In many game-theoretic settings, agents are challenged with taking decisions against the uncertain behavior exhibited by others. Often, this uncertainty arises from multiple sources, e.g., incomplete information, limited computation,…
The optimal offloading of tasks in heterogeneous edge-computing scenarios is of great practical interest, both in the selfish and fully cooperative setting. In practice, such systems are typically very large, rendering exact solutions in…
We study an optimal execution problem in illiquid markets with both instantaneous and persistent price impact and stochastic resilience when only absolutely continuous trading strategies are admissible. In our model the value function can…
We consider the scenario where $N$ utilities strategically bid for electricity in the day-ahead market and balance the mismatch between the committed supply and actual demand in the real-time market, with uncertainty in demand and local…
We study the complexity of computing Bayes-Nash equilibria in single-item first-price auctions. We present the first efficient algorithms for the problem, when the bidders' values for the item are independently drawn from the same…
In this paper, we introduce a novel reinforcement learning framework for optimal trade execution in a limit order book. We formulate the trade execution problem as a dynamic allocation task whose objective is the optimal placement of market…
We study the design of decision-making mechanism for resource allocations over a multi-agent system in a dynamic environment. Agents' privately observed preference over resources evolves over time and the population is dynamic due to the…
Controlling large-scale systems sometimes requires decentralized computation. Communication among agents is crucial to achieving consensus and optimal global behavior. These negotiation mechanisms are sensitive to attacks on those…
We consider a two-way trading problem, where investors buy and sell a stock whose price moves within a certain range. Naturally they want to maximize their profit. Investors can perform up to $k$ trades, where each trade must involve the…
This paper presents Pot, a system that leverages the concept of preordered transactions to achieve deterministic multithreaded execution of programs that use Transactional Memory. Preordered transactions eliminate the root cause of…