Related papers: Trading with the Crowd
We study a static game played by a finite number of agents, in which agents are assigned independent and identically distributed random types and each agent minimizes its objective function by choosing from a set of admissible actions that…
In this paper, we consider discrete-time partially observed mean-field games with the risk-sensitive optimality criterion. We introduce risk-sensitivity behaviour for each agent via an exponential utility function. In the game model, each…
Mean field games are studied by means of the weak formulation of stochastic optimal control. This approach allows the mean field interactions to enter through both state and control processes and take a form which is general enough to…
We study an equilibrium-based continuous asset pricing problem for the securities market. In the previous work [16], we have shown that a certain price process, which is given by the solution to a forward backward stochastic differential…
Computing Nash equilibria for strategic multi-agent systems is challenging for expensive black box systems. Motivated by the ubiquity of games involving exploitation of common resources, this paper considers the above problem for potential…
Robots navigating in crowded areas should negotiate free space with humans rather than fully controlling collision avoidance, as this can lead to freezing behavior. Game theory provides a framework for the robot to reason about potential…
We study optimal execution in markets with transient price impact in a competitive setting with $N$ traders. Motivated by prior negative results on the existence of pure Nash equilibria, we consider randomized strategies for the traders and…
Network congestion games are a convenient model for reasoning about routing problems in a network: agents have to move from a source to a target vertex while avoiding congestion, measured as a cost depending on the number of players using…
We study the problem of computing an approximate Nash equilibrium of a game whose strategy space is continuous without access to gradients of the utility function. Such games arise, for example, when players' strategies are represented by…
In this paper a consensus has been constructed in a social network which is modeled by a stochastic differential game played by agents of that network. Each agent independently minimizes a cost function which represents their motives. A…
We investigate a stochastic differential game in which a major player has a private information (the knowledge of a random variable), which she discloses through her control to a population of small players playing in a Nash Mean Field Game…
The use of reinforcement learning algorithms in financial trading is becoming increasingly prevalent. However, the autonomous nature of these algorithms can lead to unexpected outcomes that deviate from traditional game-theoretical…
Successful algorithms have been developed for computing Nash equilibrium in a variety of finite game classes. However, solving continuous games -- in which the pure strategy space is (potentially uncountably) infinite -- is far more…
Distributed Nash equilibrium (NE) seeking problem for multi-coalition games has attracted increasing attention in recent years, but the research mainly focuses on the case without agreement demand within coalitions. This paper considers a…
We present a framework for computing approximate mixed-strategy Nash equilibria of continuous-action games. It is a modification of the traditional double oracle algorithm, extended to multiple players and continuous action spaces. Unlike…
In this paper, we study a distributed continuous-time design for aggregative games with coupled constraints in order to seek the generalized Nash equilibrium by a group of agents via simple local information exchange. To solve the problem,…
In the traditional game-theoretic set up, where agents select actions and experience corresponding utilities, an equilibrium is a configuration where no agent can improve their utility by unilaterally switching to a different action. In…
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…
Examining the behavior of multi-agent systems is vitally important to many emerging distributed applications - game theory has emerged as a powerful tool set in which to do so. The main approach of game-theoretic techniques is to model…
Nash`s classical bargaining solution suggests that n players in a non-cooperative bargaining situation should find a solution that maximizes the product of each player's utility functions. We consider a special case: Suppose that the…