Related papers: Inventory Management for High-Frequency Trading wi…
Even when confronted with the same data, agents often disagree on a model of the real-world. Here, we address the question of how interacting heterogenous agents, who disagree on what model the real-world follows, optimize their trading…
In this paper, we study which data can be induced by a correlated equilibrium given a known finite simultaneous move game. We assume that an analyst has access to the frequency of each agent's actions but does not have access to the…
In this paper, we study closed-loop strong equilibrium strategies for the time-inconsistent control problem with higher-order moments formulated by [Wang et al. SIAM J. Control. Optim., 63 (2025), 1560--1589]. Since time-inconsistency makes…
We consider a single buyer with a combinatorial preference that would like to purchase related products and services from different vendors, where each vendor supplies exactly one product. We study the general case where subsets of products…
We consider price competition among multiple sellers over a selling horizon of $T$ periods. In each period, sellers simultaneously offer their prices (which are made public) and subsequently observe their respective demand (not made…
Efficient markets are characterised by profit-driven participants continuously refining their positions towards the latest insights. Margins for profit generation are generally small, shaping a difficult landscape for automated trading…
We introduce a new framework to study the group dynamics and game-theoretic considerations when voters in a committee are allowed to trade votes. This model represents a significant step forward by considering vote-for-vote trades in a…
Integrated hydrogen-enriched compressed natural gas (HCNG) and active distribution network (ADN) is providing efficient and sustainable flexibility for consuming renewable energies. Yet, cross-sector privacy and uncertain high-renewable…
This paper is devoted to kinetic equations without confinement. We investigate the large time behaviour induced by collision operators with fat tailed local equilibria. Such operators have an anomalous diffusion limit. In the appropriate…
This paper presents a multi-agent reinforcement learning algorithm to represent strategic bidding behavior in freight transport markets. Using this algorithm, we investigate whether feasible market equilibriums arise without any central…
We present our results on Uniform Price Auctions, one of the standard sealed-bid multi-unit auction formats, for selling multiple identical units of a single good to multi-demand bidders. Contrary to the truthful and economically efficient…
The presence of uncertainties in the ride-hailing market complicates the pricing strategies of on-demand platforms that compete each other to offer a mobility service while striving to maximize their profit. Looking at this problem as a…
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 propose a framework for studying optimal market making policies in a limit order book (LOB). The bid-ask spread of the LOB is modelled by a Markov chain with finite values, multiple of the tick size, and subordinated by the Poisson…
This work is concerned with the application of game theoretic principles to model competition between demand response aggregators for selling excess energy stored in electrochemical storage devices directly to other aggregators in a power…
This paper studies the optimal extraction and taxation of nonrenewable natural resources. It is well known that the market values of the main strategic resources such as oil, natural gas, uranium, copper,..., etc, fluctuate randomly…
Efficiently integrating renewable resources into electricity markets is vital for addressing the challenges of matching real-time supply and demand while reducing the significant energy wastage resulting from curtailments. To address this…
We consider existence and uniqueness of Nash equilibria in an $N$-player game of utility maximization under relative performance criteria of multiplicative form in complete semimartingale markets. For a large class of players' utility…
This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of…
We study the strategic purchasing of priorities in a time-dependent accumulating priority M/G/$1$ queue. We formulate a non-cooperative game in which customers purchase priority coefficients with the goal of reducing waiting costs in…