Related papers: Liquidity Provision with Adverse Selection and Inv…
Automated market makers (AMMs) allocate fee revenue \textit{proportional} to the amount of liquidity investors deposit. In this paper, we study the economic consequences of the competition between passive liquidity providers (LPs) caused by…
We consider a class of adversarial classification problems in the form of zero-sum games between a classifier and an adversary. The latter is able to corrupt data, at the expense of some optimal transport cost. We show that quite general…
We study a new kind of non-zero-sum stochastic differential game with mixed impulse/switching controls, motivated by strategic competition in commodity markets. A representative upstream firm produces a commodity that is used by a…
The convergence properties of learning dynamics in repeated auctions is a timely and important question, with numerous applications in, e.g., online advertising markets. This work focuses on repeated first-price auctions where bidders with…
We studied the behavior and variation of utility between the two conflicting players in a closed Nash-equilibrium loop. Our modeling approach also captured the nexus between optimal premium strategizing and firm performance using the…
A recent body of experimental literature has studied empirical game-theoretical analysis, in which we have partial knowledge of a game, consisting of observations of a subset of the pure-strategy profiles and their associated payoffs to…
Much work has been done on the computation of market equilibria. However due to strategic play by buyers, it is not clear whether these are actually observed in the market. Motivated by the observation that a buyer may derive a better…
We study a discrete-time financial market with a single constrained trader, competitive market makers, and noise traders. Within the class of linear equilibria, the equilibrium structure is shown to be uniquely determined by two state…
We analyze novel portfolio liquidation games with self-exciting order flow. Both the N-player game and the mean-field game are considered. We assume that players' trading activities have an impact on the dynamics of future market order…
We introduce the problem of groundwater trading, capturing the emergent groundwater market setups among stakeholders in a given groundwater basin. The agents optimize their production, taking into account their available water rights, the…
We study correlated equilibria and coarse equilibria of simple first-price single-item auctions in the simplest auction model of full information. Nash equilibria are known to always yield full efficiency and a revenue that is at least the…
We study continuous time Bertrand oligopolies in which a small number of firms producing similar goods compete with one another by setting prices. We first analyze a static version of this game in order to better understand the strategies…
We analyze competition on nonlinear prices in homogeneous goods markets with consumer search. In equilibrium firms offer two-part tariffs consisting of a linear price and lump-sum fee. The equilibrium production is socially efficient as the…
This paper presents an equilibrium model of dynamic trading, learning, and pricing by strategic investors with trading targets and price impact. Since trading targets are private, rebalancers and liquidity providers filter the child order…
We study the propensity of independent algorithms to collude in repeated Cournot duopoly games. Specifically, we investigate the predictive power of different oligopoly and bargaining solutions regarding the effect of asymmetry between…
We propose an algorithm for computing Nash equilibria (NE) in a class of conflicts with multiple battlefields with uniform battlefield values and a non-linear aggregation function. By expanding the symmetrization idea of Hart [9], proposed…
In this paper, we consider the competitive diffusion game, and study the existence of its pure-strategy Nash equilibrium when defined over general undirected networks. We first determine the set of pure-strategy Nash equilibria for two…
In a two-round auction, a subset of bidders is selected (probabilistically), according to their bids in the first round, for the second round, where they can increase their bids. We formalize the two-round auction model, restricting the…
In this paper we study variations of the standard Hotelling-Downs model of spatial competition, where each agent attracts the clients in a restricted neighborhood, each client randomly picks one attractive agent for service. Two utility…
In this letter, we study distributed optimization and Nash equilibrium-seeking dynamics from a contraction theoretic perspective. Our first result is a novel bound on the logarithmic norm of saddle matrices. Second, for distributed gradient…