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Two issues of algorithmic collusion are addressed in this paper. First, we show that in a general class of symmetric games, including Prisoner's Dilemma, Bertrand competition, and any (nonlinear) mixture of first and second price auction,…
The problem of robust dynamic pricing of an abstract commodity, whose inventory is specified at an initial time but never subsequently replenished, originally studied by Perakis and Sood (2006) in discrete time, is considered from the…
In financial markets, the order flow, defined as the process assuming value one for buy market orders and minus one for sell market orders, displays a very slowly decaying autocorrelation function. Since orders impact prices, reconciling…
Bidding in simultaneous auctions is challenging because an agent's value for a good in one auction may depend on the uncertain outcome of other auctions: the so-called exposure problem. Given the gap in understanding of general simultaneous…
We consider a queueing facility where customers decide when to arrive. All customers have the same desired arrival time (w.l.o.g.\ time zero). There is one server, and the service times are independent and exponentially distributed. The…
We study oligopolistic competition in service markets where firms offer a service to customers. The service quality of a firm - from the perspective of a customer - depends on the congestion and the charged price. A firm can set a price for…
We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs from the adverse impact of his trades on market prices. By…
We study Nash equilibria in strategic facility location games where clients are located in an arbitrary metric space. Specifically, there are $n$ clients, and the goal is to choose a facility from a set of given locations, so that the total…
Trading algorithms that execute large orders are susceptible to exploitation by order anticipation strategies. This paper studies the influence of order anticipation strategies in a multi-investor model of optimal execution under transient…
We study a general scenario of simultaneous contests that allocate prizes based on equal sharing: each contest awards its prize to all players who satisfy some contest-specific criterion, and the value of this prize to a winner decreases as…
I study symmetric competitions in which each player chooses an arbitrary distribution over a one-dimensional performance index, subject to a convex cost. I establish existence of a symmetric equilibrium, document various properties it must…
This paper studies an environment of simultaneous, separate, first-price auctions for complementary goods. Agents observe private values of each good before making bids, and the complementarity between goods is explicitly incorporated in…
We investigate stochastic differential games of optimal trading comprising a finite population. There are market frictions in the present framework, which take the form of stochastic permanent and temporary price impacts. Moreover,…
Two sellers compete to sell identical products to a single buyer. Each seller chooses an arbitrary mechanism, possibly involving lotteries, to sell their product. The utility-maximizing buyer can choose to participate in one or both…
First price auctions are widely used in government contracts and industrial auctions. In this paper, we consider the Bayesian Nash Equilibrium (BNE) in first price auctions with discrete value distributions. We study the characterization of…
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 partial information Nash equilibrium between a broker and an informed trader. In this setting, the informed trader, who possesses knowledge of a trading signal, trades multiple assets with the broker in a dealer market.…
We consider two competing platforms operating in a two-sided market and offering identical services to their customers at potentially different prices. The objective of each platform is to maximize its throughput or revenue by suitably…
We investigate a portfolio selection problem involving multi competitive agents, each exhibiting mean-variance preferences. Unlike classical models, each agent's utility is determined by their relative wealth compared to the average wealth…
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…