Related papers: Inventory Management for High-Frequency Trading wi…
We consider a game-theoretic model where individuals compete over a shared failure-prone system or resource. We investigate the effectiveness of a taxation mechanism in controlling the utilization of the resource at the Nash equilibrium…
This paper derives a robust on-line equity trading algorithm that achieves the greatest possible percentage of the final wealth of the best pairs rebalancing rule in hindsight. A pairs rebalancing rule chooses some pair of stocks in the…
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 study the problem of optimal trading using general alpha predictors with linear costs and temporary impact. We do this within the framework of stochastic optimization with finite horizon using both limit and market orders. Consistently…
This paper shows that in suitable markets, even with out-of-equilibrium trade allowed, a simple price update rule leads to rapid convergence toward the equilibrium. In particular, this paper considers a Fisher market repeated over an…
The all-pay auction, a classic competitive model, is widely applied in scenarios such as political elections, sports competitions, and research and development, where all participants pay their bids regardless of winning or losing. However,…
The Non-Fungible Token (NFT) market in the Ethereum blockchain experienced explosive growth in 2021, with a monthly trade volume reaching \$6 billion in January 2022. However, concerns have emerged about possible wash trading, a form of…
Continuous-time gradient-based Nash equilibrium seeking algorithms enjoy a passivity property under a suitable monotonicity assumption. This feature has been exploited to design distributed algorithms that converge to Nash equilibria and…
We introduce a trade strategy representation theorem for performance measurement and portable alpha in high frequency trading, by embedding a robust trading algorithm that describe portfolio manager market timing behavior, in a canonical…
In competitive supply chains (SCs), pricing decisions are crucial, as they directly impact market share and profitability. Traditional SC models often assume continuous pricing for mathematical convenience, overlooking the practical reality…
We build an agent-based model to study how the interplay between low- and high-frequency trading affects asset price dynamics. Our main goal is to investigate whether high-frequency trading exacerbates market volatility and generates flash…
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…
As emerging digital assets, NFTs are susceptible to anomalous trading behaviors due to the lack of stringent regulatory mechanisms, potentially causing economic losses. In this paper, we conduct the first systematic analysis of four…
In this paper, we introduce a preliminary model for interactions in the data market. Recent research has shown ways in which a data aggregator can design mechanisms for users to ensure the quality of data, even in situations where the users…
We study a dynamic portfolio optimization problem related to convergence trading, which is an investment strategy that exploits temporary mispricing by simultaneously buying relatively underpriced assets and selling short relatively…
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…
We consider an optimal investment problem to maximize expected utility of the terminal wealth, in an illiquid market with search frictions and transaction costs. In the market model, an investor's attempt of transaction is successful only…
We examine dynamic coupling and feedback effects between High Frequency Traders (HFTs) and how they can destabilize markets. We develop a general framework for modelling dynamic interaction based on recurrence relations, and use this to…
Motivated by applications in online marketplaces such as ride-hailing, we study how strategic servers impact the system performance. We consider a discrete-time process in which, heterogeneous types of customers and servers arrive. Each…
We propose a general approximation method for determining optimal trading strategies in markets with proportional transaction costs, with a polynomial approximation of the residual value function. The method is exemplified by several…