Related papers: Cryptocurrency Equilibria Through Game Theoretic O…
In this paper two algorithms with the goal of generating the equilibrium set of the power allocation game first developed in \cite{allocation} are proposed. Based on the first algorithm, the geometric property of the pure strategy Nash…
In recent years, cryptocurrencies have attracted growing attention from both private investors and institutions. Among them, Bitcoin stands out for its impressive volatility and widespread influence. This paper explores the predictability…
Despite the popularity and practical applicability of blockchains, there is very limited work on the theoretical foundation of blockchains: The lack of rigorous theory and analysis behind the curtain of blockchains has severely staggered…
In this paper, we study a theoretical math problem of game theory and calculus of variations in which we minimize a functional involving two players. A general relationship between the optimal strategies for both players is presented,…
Two of the most important technological advancements currently underway are the advent of quantum technologies, and the transitioning of global financial systems towards cryptographic assets, notably blockchain-based cryptocurrencies and…
We introduce a microscopic model of interacting financial agents, where each agent is characterized by two portfolios; money invested in bonds and money invested in stocks. Furthermore, each agent is faced with an optimization problem in…
In the evolving domain of cryptocurrency markets, accurate token valuation remains a critical aspect influencing investment decisions and policy development. Whilst the prevailing equation of exchange pricing model offers a quantitative…
We consider a security game in a setting consisting of two players (an attacker and a defender), each with a given budget to allocate towards attack and defense, respectively, of a set of nodes. Each node has a certain value to the attacker…
In game theory, a trusted mediator acting on behalf of the players can enable the attainment of correlated equilibria, which may provide better payoffs than those available from the Nash equilibria alone. We explore the approach of…
Cryptocurrency markets have attracted many interest for global investors because of their novelty, wide online availability, increasing capitalization and potential profits. In the econophysics tradition we show that many of the most…
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…
Nash equilibria and Pareto optimality are two distinct concepts when dealing with multiple criteria. It is well known that the two concepts do not coincide. However, in this work we show that it is possible to characterize the set of all…
The game-theoretic risk management framework put forth in the precursor work "Towards a Theory of Games with Payoffs that are Probability-Distributions" (arXiv:1506.07368 [q-fin.EC]) is herein extended by algorithmic details on how to…
To maintain blockchain-based services with ensuring its security, it is an important issue how to decide a mining reward so that the number of miners participating in the mining increases. We propose a dynamical model of decision-making for…
Game theory finds nowadays a broad range of applications in engineering and machine learning. However, in a derivative-free, expensive black-box context, very few algorithmic solutions are available to find game equilibria. Here, we propose…
There has been substantial recent concern that pricing algorithms might learn to ``collude.'' Supra-competitive prices can emerge as a Nash equilibrium of repeated pricing games, in which sellers play strategies which threaten to punish…
The use of reinforcement learning algorithms in financial trading is becoming increasingly prevalent. However, the autonomous nature of these algorithms can lead to unexpected outcomes that deviate from traditional game-theoretical…
We introduce a new methodology that enables detection of the onset of convergence towards Nash equilibria in simple repeated games with infinitely large strategy spaces, thereby revealing the heuristics used in decision-making. The method…
This paper studies the optimal liquidation of stocks in the presence of temporary and permanent price impacts, and we focus in the case of cryptocurrencies. We start by presenting analytical solutions to the problem with linear temporary…
We consider the problem of portfolio optimization with a correlation constraint. The framework is the multiperiod stochastic financial market setting with one tradable stock, stochastic income and a non-tradable index. The correlation…