Related papers: Instabilities in Multi-Asset and Multi-Agent Marke…
Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution…
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 paper investigates the efficiency loss in social cost caused by strategic bidding behavior of individual participants in a supply-demand balancing market, and proposes a mechanism to fully recover equilibrium social optimum via…
We study the rise in the acceptability fiat money in a Kiyotaki-Wright economy by developing a method that can determine dynamic Nash equilibria for a class of search models with genuine heterogenous agents. We also address open issues…
Game theory provides a well-established framework for the analysis of concurrent and multi-agent systems. The basic idea is that concurrent processes (agents) can be understood as corresponding to players in a game; plays represent the…
We analyze a continuous-time optimal trade execution problem in multiple assets where the price impact and the resilience can be matrix-valued stochastic processes that incorporate cross-impact effects. In addition, we allow for stochastic…
We consider the strategic interaction of $n$ investors who are able to influence a stock price process and at the same time measure their utilities relative to the other investors. Our main aim is to find Nash equilibrium investment…
We consider a discrete-time model of a financial market where a risky asset is bought and sold with transactions having a transient price impact. It is shown that the corresponding utility maximization problem admits a solution. We manage…
Signaling game problems investigate communication scenarios where encoder(s) and decoder(s) have misaligned objectives due to the fact that they either employ different cost functions or have inconsistent priors. This problem has been…
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…
We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and…
Nash equilibria are crucial for understanding game behavior and systems in economics, physics, biology, and computer science. A significant application arises from the connection between Nash equilibria and optimization problems . However,…
In this paper, we consider game problems played by (multi)-integrator agents, subject to external disturbances. We propose Nash equilibrium seeking dynamics based on gradient-play, augmented with a dynamic internal-model based component,…
We study a multiplicative transient price impact model for an illiquid financial market, where trading causes price impact which is multiplicative in relation to the current price, transient over time with finite rate of resilience, and…
We study a game with \emph{strategic} vendors who own multiple items and a single buyer with a submodular valuation function. The goal of the vendors is to maximize their revenue via pricing of the items, given that the buyer will buy the…
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…
We develop a tractable equilibrium model for price formation in intraday electricity markets in the presence of intermittent renewable generation. Using stochastic control theory, we identify the optimal strategies of agents with market…
We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. The construction of…
The price of anarchy and price of stability are three well-studied performance metrics that seek to characterize the inefficiency of equilibria in distributed systems. The distinction between these two performance metrics centers on the…
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…