Related papers: A Macroscopic Portfolio Model: From Rational Agent…
We study the competition of two strategic agents for liquidity in the benchmark portfolio tracking setup of Bank, Soner, Vo{\ss} (2017). Specifically, both agents track their own stochastic running trading targets while interacting through…
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,…
Optimization methods are used to determine equilibria of investment in cryptocurrencies. The basic assumptions involve existence of a core group (the "wealthy") that fears the loss of substantial assets through government seizure.…
We propose a game-theoretic framework for adaptive multi-agent intelligent systems. Unlike classical game theory, which often treats strategies as primitive objects chosen by perfectly rational agents, the proposed framework provides a…
In this work, we consider the optimal portfolio selection problem under hard constraints on trading volume amounts when the dynamics of the risky asset returns are governed by a discrete-time approximation of the Markov-modulated geometric…
We develop a model for the evolution of wealth in a non-conservative economic environment, extending a theory developed earlier by the authors. The model considers a system of rational agents interacting in a game theoretical framework.…
We consider a simplified version of the Wealth Game, which is an agent-based financial market model with many interesting features resembling the real stock market. Market makers are not present in the game so that the majority traders are…
We consider the problem of dynamic buying and selling of shares from a collection of $N$ stocks with random price fluctuations. To limit investment risk, we place an upper bound on the total number of shares kept at any time. Assuming that…
In this study, we developed a computational framework for simulating large-scale agent-based financial markets. Our platform supports trading multiple simultaneous assets and leverages distributed computing to scale the number and…
We develop an equilibrium framework that relaxes the standard assumption that people have a correctly-specified view of their environment. Each player is characterized by a (possibly misspecified) subjective model, which describes the set…
Multiplayer games with selfish agents naturally occur in the design of distributed and embedded systems. As the goals of selfish agents are usually neither equivalent nor antagonistic to each other, such games are non zero-sum games. We…
This thesis mainly focuses on two problems in capital structure and individual's life-cycle portfolio choice. In the first problem, we derive a stochastic control model to optimize banks' dividend and recapitalization policies and calibrate…
One key in real-life Nash equilibrium applications is to calibrate players' cost functions. To leverage the approximation ability of neural networks, we proposed a general framework for optimizing and learning Nash equilibrium using neural…
We consider a variation on the classical finance problem of optimal portfolio design. In our setting, a large population of consumers is drawn from some distribution over risk tolerances, and each consumer must be assigned to a portfolio of…
In this paper the problem of optimal derivative design, profit maximization and risk minimization under adverse selection when multiple agencies compete for the business of a continuum of heterogenous agents is studied. The presence of ties…
Agent-based models provide a constructive approach to studying emergent dynamics in life-like systems composed of interacting, adaptive agents. Financial markets serve as a canonical example of such systems, where collective price dynamics…
In this paper, we investigate a competitive market involving two agents who consider both their own wealth and the wealth gap with their opponent. Both agents can invest in a financial market consisting of a risk-free asset and a risky…
This paper studies a robust portfolio optimization problem under the multi-factor volatility model introduced by Christoffersen et al. (2009). The optimal strategy is derived analytically under the worst-case scenario with or without…
We propose a stochastic game modelling the strategic interaction between market makers and traders of optimal execution type. For traders, the permanent price impact commonly attributed to them is replaced by quoting strategies implemented…
In this paper, we study the Nash dynamics of strategic interplays of n buyers in a matching market setup by a seller, the market maker. Taking the standard market equilibrium approach, upon receiving submitted bid vectors from the buyers,…