Related papers: Cryptocurrency Equilibria Through Game Theoretic O…

We have designed an innovative portfolio rebalancing mechanism termed the Cascading Waterfall Round Robin Mechanism. This algorithmic approach recommends an ideal size and number of trades for each asset during the periodic rebalancing…

The minority game is a simple congestion game in which the players' main goal is to choose among two options the one that is adopted by the smallest number of players. We characterize the set of Nash equilibria and the limiting behavior of…

Batch policy optimization considers leveraging existing data for policy construction before interacting with an environment. Although interest in this problem has grown significantly in recent years, its theoretical foundations remain…

The goal of this paper is to explore the relationship between momentum effects and liquidity in cryptocurrency markets. Portfolios based on momentum-liquidity bivariate sorts are formed and rebalanced on a varying number of cryptocurrencies…

We establish a Nash equilibrium in a market with $ N $ agents with the performance criteria of relative wealth level when the market return is unobservable. Each investor has a random prior belief on the return rate of the risky asset. The…

Under the assumption of complete rationality, Nash equilibrium is the only reasonable strategy (set) of the finitely repeated prisoner's dilemma. In fact, some strategies only slightly deviate from the so-called rationality, and the…

Successful algorithms have been developed for computing Nash equilibrium in a variety of finite game classes. However, solving continuous games -- in which the pure strategy space is (potentially uncountably) infinite -- is far more…

This letter reports a novel application of game theory to quantum informational processes which can be used to optimally classify data generated by these processes. To this end, the notion of simultaneously distinguishing a pure quantum…

We study a n-player and mean-field portfolio optimization problem under relative performance concerns with non-zero volatility, for wealth and consumption. The consistency assumption defining forward relative performance processes leads to…

Cryptocurrency trading has attracted tremendous attention from both retail and institutional investors. However, most traders fail to scale their assets under management due to fragile strategies that collapse during adverse markets. The…

We consider a class of interdependent security games on networks where each node chooses a personal level of security investment. The attack probability experienced by a node is a function of her own investment and the investment by her…

Proof-of-work computation used in cryptocurrencies has witnessed significant growth in the U.S. and many other regions around the world. One of the most significant bottlenecks for the scalable deployment of such computation is its energy…

The standard risk minimization paradigm of machine learning is brittle when operating in environments whose test distributions are different from the training distribution due to spurious correlations. Training on data from many…

The popularity of cryptocurrencies has grown significantly in recent years, and they have become an important asset for internet trading. One of the main drawbacks of cryptocurrencies is the high volatility and fluctuation in value. The…

In this paper, we consider the problem of generating fair randomness in a deterministic, multi-agent context (for instance, a decentralised game built on a blockchain). The existing state-of-the-art approaches are either susceptible to…

We propose an analytically tractable variation of the minority game in which rational agents use probabilistic strategies. In our model, $N$ agents choose between two alternatives repeatedly, and those who are in the minority get a pay-off…

In this article, we consider generalized Nash games where the associated constraint map is not necessarily self. The classical Nash equilibrium may not exist for such games and therefore we introduce the notion of best approximate solution…

Extreme volatility, nonlinear dependencies, and systemic fragility are characteristics of cryptocurrency markets. The assumptions of normality and centralized control in traditional financial risk models frequently cause them to miss these…

The selfish mining attack, arguably the most famous game-theoretic attack in blockchain, indicates that the Bitcoin protocol is not incentive-compatible. Most subsequent works mainly focus on strengthening the selfish mining strategy, thus…

Noncooperative games with uncertain payoffs have been classically studied under the expected-utility theory framework, which relies on the strong assumption that agents behave rationally. However, simple experiments on human decision makers…