Related papers: Trading with the Crowd
Stochastic games generalize Markov decision processes (MDPs) to a multiagent setting by allowing the state transitions to depend jointly on all player actions, and having rewards determined by multiplayer matrix games at each state. 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…
Subject to reasonable conditions, in large population stochastic dynamics games, where the agents are coupled by the system's mean field (i.e. the state distribution of the generic agent) through their nonlinear dynamics and their nonlinear…
Recent advances at the intersection of dense large graph limits and mean field games have begun to enable the scalable analysis of a broad class of dynamical sequential games with large numbers of agents. So far, results have been largely…
We are concerned with finding Nash Equilibria in agent-based multi-cluster games, where agents are separated into distinct clusters. While the agents inside each cluster collaborate to achieve a common goal, the clusters are considered to…
This paper provides theoretical bounds for empirical game theoretical analysis of complex multi-agent interactions. We provide insights in the empirical meta game showing that a Nash equilibrium of the meta-game is an approximate Nash…
We study the high-frequency limit of an $n$-trader optimal execution game in discrete time. Traders face transient price impact of Obizhaeva--Wang type in addition to quadratic instantaneous trading costs $\theta(\Delta X_t)^2$ on each…
We study the impact of transition scenario uncertainty, namely that of future carbon price and electricity demand, on the pace of decarbonization of the electricity industry. To this end, we develop a theory of optimal stopping mean-field…
We initiate the study of how to perturb the reward in a zero-sum Markov game with two players to induce a desirable Nash equilibrium, namely arbitrating. Such a problem admits a bi-level optimization formulation. The lower level requires…
We introduce a general representation of large-population games in which each player s influence ON the others IS centralized AND limited, but may otherwise be arbitrary.This representation significantly generalizes the class known AS…
It is frequently suggested that predictions made by game theory could be improved by considering computational restrictions when modeling agents. Under the supposition that players in a game may desire to balance maximization of payoff with…
This paper investigates the equilibrium convergence properties of a proposed algorithm for potential games with continuous strategy spaces in the presence of feedback delays, a main challenge in multi-agent systems that compromises the…
The standard game-theoretic solution concept, Nash equilibrium, assumes that all players behave rationally. If we follow a Nash equilibrium and opponents are irrational (or follow strategies from a different Nash equilibrium), then we may…
This paper considers decentralized control and optimization methodologies for large populations of systems, consisting of several agents with different individual behaviors, constraints and interests, and affected by the aggregate behavior…
This paper studies the equilibrium consumption under external habit formation in a large population of agents. We first formulate problems under two types of conventional habit formation preferences, namely linear and multiplicative…
We consider the basic problem of approximating Nash equilibria in noncooperative games. For monotone games, we design continuous time flows which converge in an averaged sense to Nash equilibria. We also study mean field equilibria, which…
We propose and analyze a framework for mean-field Markov games under model uncertainty. In this framework, a state-measure flow describing the collective behavior of a population affects the given reward function as well as the unknown…
We study Markov perfect equilibria in continuous-time dynamic games with finitely many symmetric players. The corresponding Nash system reduces to the Nash-Lasry-Lions equation for the common value function, also known as the master…
A classic model to study strategic decision making in multi-agent systems is the normal-form game. This model can be generalised to allow for an infinite number of pure strategies leading to continuous games. Multi-objective normal-form…
We propose a type of non-cooperative game, termed multi-cluster aggregative game, which is composed of clusters as players, where each cluster consists of collaborative agents with cost functions depending on their own decisions and the…