Related papers: Common knowledge equilibrium of Boolean securities…

We propose a distributed algorithm to compute an equilibrium in aggregate games where players communicate over a fixed undirected network. Our algorithm exploits correlated perturbation to obfuscate information shared over the network. We…

We propose a pseudo-market solution to resource allocation problems subject to constraints. Our treatment of constraints is general: including bihierarchical constraints due to considerations of diversity in school choice, or scheduling in…

We use valid inequalities (cuts) of the binary integer program for winner determination in a combinatorial auction (CA) as "artificial items" that can be interpreted intuitively and priced to generate Artificial Walrasian Equilibria. We…

In [1] we presented a model for transactions when goods are given away in the expectation of a later settlement. In settings where people keep track of their social accounts we were able to redefine concepts like account balance, yield…

This paper studies the equilibrium pricing of asset shares in the presence of dynamic private information. The market consists of a risk-neutral informed agent who observes the firm value, noise traders, and competitive market makers who…

We solve for the equilibrium dynamics of information sharing in a large population. Each agent is endowed with signals regarding the likely outcome of a random variable of common concern. Individuals choose the effort with which they search…

Prediction markets are designed to aggregate dispersed information about future events, yet today's ecosystem is fragmented across heterogeneous operator-run platforms and blockchain-based protocols that independently list economically…

This paper relaxes the common prior assumption in the public and private information game of Morris and Shin (2000, 2004). For the generalized game, where the agent's prior expectations are heterogenous, it derives a sharp condition for the…

Matching algorithms have demonstrated great success in several practical applications, but they often require centralized coordination and plentiful information. In many modern online marketplaces, agents must independently seek out and…

The question of what global information must distributed rational agents a-priori know about the network in order for equilibrium to be possible is researched here. Until now, distributed algorithms with rational agents have assumed that…

The call auction is a widely used trading mechanism, especially during the opening and closing periods of financial markets. In this paper, we study a standard call auction problem where orders are submitted according to Poisson processes,…

We study a continuous time economy where throughout time, insiders receive private signals regarding the risky assets' terminal payoff. We prove existence of a partial communication equilibrium where, at each private signal time, the public…

We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model,…

In this paper we introduce a class of information-based models for the pricing of fixed-income securities. We consider a set of continuous- time information processes that describe the flow of information about market factors in a monetary…

This paper studies a large number of homogeneous Markov decision processes where the transition probabilities and costs are coupled in the empirical distribution of states (also called mean-field). The state of each process is not known to…

We study mixed bundling and competitive price-matching guarantees (PMGs) in a duopoly selling complementary products to heterogeneous customers. One retailer offers mixed bundling while the rival sells only a bundle. We characterize unique…

We propose a machine learning method to solve a mean-field game price formation model with common noise. This involves determining the price of a commodity traded among rational agents subject to a market clearing condition imposed by…

With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the agent minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time,…

Cooperation through repetition is an important theme in game theory. In this regard, various celebrated ``folk theorems'' have been proposed for repeated games in increasingly more complex environments. There has, however, been insufficient…

Secure equilibrium is a refinement of Nash equilibrium, which provides some security to the players against deviations when a player changes his strategy to another best response strategy. The concept of secure equilibrium is specifically…