Related papers: Phase Transitions in Kyle's Model with Market Make…
We consider models of financial markets in which all parties involved find incentives to participate. Strategies are evaluated directly by their virtual wealths. By tuning the price sensitivity and market impact, a phase diagram with…
Given a large number of homogeneous players that are distributed across three possible states, we consider the problem in which these players have to control their transition rates, while minimizing a cost. The optimal transition rates are…
We consider a model of nomadic agents exploring and competing for time-varying location-specific resources, arising in crowdsourced transportation services, online communities, and in traditional location based economic activity. This model…
A group of players which contain n sellers and n buyers bargain over the partitions of n pies. A seller(/buyer) has to reach an agreement with a buyer (/seller) on the division of a pie. The players bargain in a system like the stock…
The optimal (`equilibrium') macroscopic properties of an economy with $N$ industries endowed with different technologies, $P$ commodities and one consumer are derived in the limit $N\to\infty$ with $n=N/P$ fixed using the replica method.…
We study the dynamic pricing of discrete goods over a finite selling horizon. One way to capture both the elastic and stochastic reaction of purchases to price is through a model where sellers control the intensity of a counting process,…
This paper formally models the strategic repeated interactions between a system, comprising of a machine learning (ML) model and associated explanation method, and an end-user who is seeking a prediction/label and its explanation for a…
We consider the dynamics of player's strategies in repeated market games, where the selection of strategies is determined by a learning model. Prior theoretical analysis and experimental data show that after large number of plays the…
We develop a multi-period Kyle-type model that incorporates both mandatory disclosure of informed trades and imperfect competition among market makers. We prove the existence and uniqueness of a linear equilibrium and show that the…
We consider a financial market model which consists of a financial asset and a large number of interacting agents classified into many types. Different types of agents are heterogeneous in their price expectations. Each agent can change its…
We propose a frustrated and disordered many-body model of a stockmarket in which independent adaptive traders can trade a stock subject to the economic law of supply and demand. We show that the typical scaling properties and the correlated…
We consider a trading marketplace that is populated by traders with diverse trading strategies and objectives. The marketplace allows the suppliers to list their goods and facilitates matching between buyers and sellers. In return, such a…
In this work we study the critical behavior of a three-state ($+1$, $-1$, $0$) opinion model with independence. Each agent has a probability $q$ to act as independent, i.e., he/she can choose his/her opinion independently of the opinions of…
We study a toy two-player game for periodic double auction markets to generate liquidity. The game has imperfect information, which allows us to link market spreads with signal strength. We characterize Nash equilibria in cases with or…
Market makers provide liquidity to other market participants: they propose prices at which they stand ready to buy and sell a wide variety of assets. They face a complex optimization problem with both static and dynamic components. They…
We consider a simple model for the evolution of a limit order book in which limit orders of unit size arrive according to independent Poisson processes. The frequencies of buy limit orders below a given price level, respectively sell limit…
We present and study a Minority Game based model of a financial market where adaptive agents -- the speculators -- interact with deterministic agents -- called producers. Speculators trade only if they detect predictable patterns which…
We compare the predictions of the stationary Kyle model, a microfounded multi-step linear price impact model in which market prices forecast fundamentals through information encoded in the order flow, with those of the propagator model, a…
Finite-player dynamic games with dispersed private information are difficult because actions both move payoffs and reshape what opponents learn, generating hierarchies of beliefs about beliefs. This paper provides a recursive representation…
We reconsider the multivariate Kyle model in a risk-neutral setting with a single, perfectly informed rational insider and a rational competitive market maker, setting the price of n correlated securities. We prove the unicity of a…