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Tie-line scheduling in multi-area power systems in the US largely proceeds through a market-based mechanism called Coordinated Transaction Scheduling (CTS). We analyze this market mechanism through a game-theoretic lens. Our analysis…
Learning problems commonly exhibit an interesting feedback mechanism wherein the population data reacts to competing decision makers' actions. This paper formulates a new game theoretic framework for this phenomenon, called "multi-player…
This paper considers dyadic-exchange networks in which individual agents autonomously form coalitions of size two and agree on how to split a transferable utility. Valid results for this game include stable (if agents have no unilateral…
Traders constantly consider the price impact associated with changing their positions. This paper seeks to understand how price impact emerges from the quoting strategies of market makers. To this end, market making is modeled as a dynamic…
This paper investigates the Nash equilibrium seeking problems for networked games with intermittent communication, where each player is capable of communicating with other players intermittently over a strongly connected and directed graph.…
Although it has been known since the 1970s that a globally optimal strategy profile in a common-payoff game is a Nash equilibrium, global optimality is a strict requirement that limits the result's applicability. In this work, we show that…
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…
The existence of a (partial) market equilibrium price is proved in a complete, continuous time finite-agent market setting. The economic agents act as price takers in a fully competitive setting and maximize exponential utility from…
In this paper, the problem of finding a Nash equilibrium of a multi-player game is considered. The players are only aware of their own cost functions as well as the action space of all players. We develop a relatively fast algorithm within…
We study $N$-player optimal execution games in an Obizhaeva--Wang model of transient price impact. When the game is regularized by an instantaneous cost on the trading rate, a unique equilibrium exists and we derive its closed form. Whereas…
Nash equilibrium is one of the most influential solution concepts in game theory. With the development of computer science and artificial intelligence, there is an increasing demand on Nash equilibrium computation, especially for Internet…
This paper investigates a class of mixed stochastic linear-quadratic-Gaussian (LQG) social optimization and Nash game in the context of a large scale system. Two types of interactive agents are involved: a major agent and a large number of…
The modelling of modern power markets requires the representation of the following main features: (i) a stochastic dynamic decision process, with uncertainties related to renewable production and fuel costs, among others; and (ii) a…
We study how trading costs are reflected in equilibrium returns. To this end, we develop a tractable continuous-time risk-sharing model, where heterogeneous mean-variance investors trade subject to a quadratic transaction cost. The…
In this paper we present a new competitive packet routing model with edge priorities. We consider players that route selfishly through a network over time and try to reach their destinations as fast as possible. If the number of players who…
We construct Nash-equilibria in mean-field portfolio games of optimal investment and hedging under relative performance concerns with exponential (CARA) utility preferences. Common noise dynamics are modeled by integer-valued random…
In this work, we study an equilibrium-based continuous asset pricing problem which seeks to form a price process endogenously by requiring it to balance the flow of sales-and-purchase orders in the exchange market, where a large number of…
In game theory, the concept of Nash equilibrium reflects the collective stability of some individual strategies chosen by selfish agents. The concept pertains to different classes of games, e.g. the sequential games, where the agents play…
We discuss similarities and differencies between systems of many interacting players maximizing their individual payoffs and particles minimizing their interaction energy. We analyze long-run behavior of stochastic dynamics of many…
We consider a stochastic game between three types of players: an inside trader, noise traders and a market maker. In a similar fashion to Kyle's model, we assume that the insider first chooses the size of her market-order and then the…