Related papers: Control-stopping Games for Market Microstructure a…
Many decision problems in economics, information technology, and industry can be transformed to an optimal stopping of adapted random vectors with some utility function over the set of Markov times with respect to filtration build by the…
Zero-sum stochastic games have found important applications in a variety of fields, from machine learning to economics. Work on this model has primarily focused on the computation of Nash equilibrium due to its effectiveness in solving…
In this chapter we review some recent results on the dynamics of price formation in financial markets and its relations with the efficient market hypothesis. Specifically, we present the limit order book mechanism for markets and we…
The speculation game is an agent-based toy model to investigate the dynamics of the financial market. Our model has achieved the reproduction of 10 of the well-known stylized facts for financial time series. However, there is also a…
In many multi-player interactions, players incur strictly positive costs each time they execute actions e.g. 'menu costs' or transaction costs in financial systems. Since acting at each available opportunity would accumulate prohibitively…
This paper is concerned with the switching game of a one-dimensional backward stochastic differential equation (BSDE). The associated Bellman-Isaacs equation is a system of matrix-valued BSDEs living in a special unbounded convex domain…
We establish the existence and uniqueness of distributed equilibria to possibly nonsymmetric $N$ player differential games with interactions through controls under displacement semimonotonicity assumptions. Surprisingly, the nonseparable…
We consider a zero-sum stochastic differential controller-and-stopper game in which the state process is a controlled diffusion evolving in a multi-dimensional Euclidean space. In this game, the controller affects both the drift and the…
This paper proposes a new equilibrium concept "robust perfect equilibrium" for non-cooperative games with a continuum of players, incorporating three types of perturbations. Such an equilibrium is shown to exist (in symmetric mixed…
We propose a pseudo-market solution to resource allocation problems subject to constraints. Our treatment of constraints is general: including bihierarchical constraints due to considerations of diversity in school choice, or scheduling in…
Cooperation in heterogeneous groups, where individuals differ in resources, productivity, and behavioural responsiveness, underpins collective action across many social and biological systems. Introspection dynamics, in which each player…
Escalation is a typical feature of infinite games. Therefore tools conceived for studying infinite mathematical structures, namely those deriving from coinduction are essential. Here we use coinduction, or backward coinduction (to show its…
Escalation is a typical feature of infinite games. Therefore tools conceived for studying infinite mathematical structures, namely those deriving from coinduction are essential. Here we use coinduction, or backward coinduction (to show its…
We demonstrate that minority mechanisms arise in the dynamics of markets because of effects of price impact; accordingly the relative importance of minority and delayed majority mechanisms depends on the frequency of trading. We then use…
We consider a dynamic version of sender-receiver games, where the sequence of states follows an irreducible Markov chain observed by the sender. Under mild assumptions, we provide a simple characterization of the limit set of equilibrium…
Card games are widely used to study sequential decision-making under uncertainty, with real-world analogues in negotiation, finance, and cybersecurity. These games typically fall into three categories based on the flow of control: strictly…
In this paper, we introduce and study a class of games called price-coupling games that arise in many scenarios, especially in the electricity industry. In a price-coupling game, there is a part of the objective function of a player which…
In this paper we extend the series of our studies on the properties of an interacting particle model for market microstructure. In our earlier work we defined a Markov process on the majority opinion of the agents, obtained the transition…
In repeated-game applications where both the collusive and non-collusive outcomes can be supported as equilibria, researchers must resolve underlying selection questions if theory will be used to understand counterfactual policies. One…
We consider the problem of decentralized multi-agent reinforcement learning in Markov games. A fundamental question is whether there exist algorithms that, when adopted by all agents and run independently in a decentralized fashion, lead to…