Related papers: Cryptocurrency Equilibria Through Game Theoretic O…
Since its conception, the cryptocurrency market has been frequently described as an immature market, characterized by significant swings in volatility and occasionally described as lacking rhyme or reason. There has been great speculation…
We study optimal investment in a financial market having a finite number of assets from a signal processing perspective. We investigate how an investor should distribute capital over these assets and when he should reallocate the…
The large majority of risk-sharing transactions involve few agents, each of whom can heavily influence the structure and the prices of securities. This paper proposes a game where agents' strategic sets consist of all possible sharing…
We model and analyze blockchain miners who seek to maximize the compound return of their mining businesses. The analysis of the optimal strategies finds a new equilibrium point among the miners and the mining pools, which predicts the…
A sequence of spin-1/2 particles polarised in one of two possible directions is presented to an experimenter, who can wager in a double-or-nothing game on the outcomes of measurements in freely chosen polarisation directions. Wealth is…
In 2015, Eyal proposed the first game-theoretical model for analyzing the equilibrium of blockchain pooling: when the blockchain pools are abstracted as a non-cooperative game, two pools can reach a Nash equilibrium with a closed-form…
We study equilibrium concepts in non-cooperative games under uncertainty where both beliefs and mixed strategies are represented by non-additive measures (capacities). In contrast to the classical Nash framework based on additive…
This paper investigates design of noncooperative games from an optimization and control theoretic perspective. Pricing mechanisms are used as a design tool to ensure that the Nash equilibrium of a fairly general class of noncooperative…
We consider $n$ risk-averse agents who compete for liquidity in an Almgren--Chriss market impact model. Mathematically, this situation can be described by a Nash equilibrium for a certain linear-quadratic differential game with state…
Computational aspects of solution notions such as Nash equilibrium have been extensively studied, including settings where the ultimate goal is to find an equilibrium that possesses some additional properties. Furthermore, in order to…
All public blockchains are secured by a proof of opportunity cost among block producers. For example, the security offered by proof-of-work (PoW) systems, like Bitcoin, is due to spent computation; it is work precisely because it cannot be…
Classical mean-variance portfolio theory tells us how to construct a portfolio of assets which has the greatest expected return for a given level of return volatility. Utility theory then allows an investor to choose the point along this…
In large-scale games, approximating the opponent's strategy space with a small portfolio of representative strategies is a common and powerful technique. However, the construction of these portfolios often relies on domain-specific…
The paper studies an oligopolistic equilibrium model of financial agents who aim to share their random endowments. The risk-sharing securities and their prices are endogenously determined as the outcome of a strategic game played among all…
Cryptocurrencies are examined through the asset flow equations and experimental asset markets. Since tangible value of a typical cryptocurrency is non-existent, the theory suggests that price will gravitate toward liquidity value, i.e., the…
We consider the problem of the statistical uncertainty of the correlation matrix in the optimization of a financial portfolio. We show that the use of clustering algorithms can improve the reliability of the portfolio in terms of the ratio…
Cryptocurrencies (CCs) have risen rapidly in market capitalization over the last years. Despite striking price volatility, their high average returns have drawn attention to CCs as alternative investment assets for portfolio and risk…
Examining the behavior of multi-agent systems is vitally important to many emerging distributed applications - game theory has emerged as a powerful tool set in which to do so. The main approach of game-theoretic techniques is to model…
This paper considers finitely many investors who perform mean-variance portfolio selection under relative performance criteria. That is, each investor is concerned about not only her terminal wealth, but how it compares to the average…
Nash equilibria are crucial for understanding game behavior and systems in economics, physics, biology, and computer science. A significant application arises from the connection between Nash equilibria and optimization problems . However,…