Related papers: Nash Bargaining Over Margin Loans to Kelly Gambler…
A fair gambling is hard to be made between two spatially separated parties without introducing a trusted third party. Here we propose a novel gambling protocol, which enables fair gambling between two distant parties without the help of a…
This paper studies relative arbitrage opportunities in a market with competitive investors through stochastic differential games in the limit as the number of players tends to infinity. With common noises introduced by the stock…
We study the perfect information Nash equilibrium between a broker and her clients -- an informed trader and an uniformed trader. In our model, the broker trades in the lit exchange where trades have instantaneous and transient price impact…
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…
Correlated equilibria arise naturally when agents communicate or rely on intermediaries such as recommendation systems. We study when a given Nash equilibrium can be improved within the set of correlated equilibria for general objectives.…
Bargaining networks model the behavior of a set of players that need to reach pairwise agreements for making profits. Nash bargaining solutions are special outcomes of such games that are both stable and balanced. Kleinberg and Tardos…
This paper characterizes the best possible rate of growth of wealth in a Kelly betting game when repeatedly betting against a general i.i.d. null hypothesis $\mathscr{P}$, but the data are drawn i.i.d from an arbitrary alternative $Q$. We…
The model of this paper gives a convenient strategy that a bank in the federal funds market can use in order to maximize its profit in a contemporaneous reserve requirement (CRR) regime. The reserve requirements are determined by the demand…
Dealers make money by providing liquidity to clients but face flow uncertainty and thus price risk. They can efficiently skew their prices and wait for clients to mitigate risk (internalization), or trade with other dealers in the open…
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…
In modern portfolio theory, the balancing of expected returns on investments against uncertainties in those returns is aided by the use of utility functions. The Kelly criterion offers another approach, rooted in information theory, that…
Automated marker makers (AMMs) are a class of decentralized exchanges that enable the automated trading of digital assets. They accept deposits of digital tokens from liquidity providers (LPs); tokens can be used by traders to execute…
A portfolio of different stocks and a risk-less security whose composition is dynamically maintained stable by trading shares at any time step leads to a growth of the capital with a nonrandom rate. This is the key for the theory of…
While the Kelly portfolio has many desirable properties, including optimal long-term growth rate, the resulting investment strategy is rather aggressive. In this paper, we suggest a unified approach to the risk assessment of the Kelly…
We investigate the most popular approaches to the problem of sports betting investment based on modern portfolio theory and the Kelly criterion. We define the problem setting, the formal investment strategies, and review their common…
The possibility of latency arbitrage in financial markets has led to the deployment of high-speed communication links between distant financial centers. These links are noisy and so there is a need for coding. In this paper, we develop a…
Mechanisms with money are commonly designed under the assumption that agents are quasi-linear, meaning they have linear disutility for spending money. We study the implications when agents with non-linear (specifically, convex) disutility…
Models of adaptive bet-hedging commonly adopt insights from Kelly's famous work on optimal gambling strategies and the financial value of information. In particular, such models seek evolutionary solutions that maximize long term average…
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…
Convertible instruments are contracts, used in venture financing, which give investors the right to receive shares in the venture in certain circumstances. In liquidity events, investors may have the option to either receive back their…