Related papers: Friddy multiagent price stabilization model
I construct a novel random double auction as a robust bilateral trading mechanism for a profit-maximizing intermediary who facilitates trade between a buyer and a seller. It works as follows. The intermediary publicly commits to charging a…
A design framework recently has been developed to stabilize interconnected multiagent systems in a distributed manner, and systematically capture the architectural aspect of cyber-physical systems. Such a control theoretic framework,…
The design of distributed algorithms is central to the study of multiagent systems control. In this paper, we consider a class of combinatorial cost-minimization problems and propose a framework for designing distributed algorithms with a…
We introduce a microscopic model of interacting financial agents, where each agent is characterized by two portfolios; money invested in bonds and money invested in stocks. Furthermore, each agent is faced with an optimization problem in…
As a typical representation of complex networks studied relatively thoroughly, financial market presents some special details, such as its nonconservation and opinions spreading. In this model, agents congregate to form some clusters, which…
In a seminal paper, McAfee (1992) presented a truthful mechanism for double auctions, attaining asymptotically-optimal gain-from-trade without any prior information on the valuations of the traders. McAfee's mechanism handles…
Modern AI systems increasingly operate inside markets and institutions where data, behavior, and incentives are endogenous. This paper develops an economic foundation for multi-agent learning by studying a principal-agent interaction in a…
We describe a two-stage mechanism that fully implements the set of efficient outcomes in two-agent environments with quasi-linear utilities. The mechanism asks one agent to set prices for each outcome, and the other agent to make a choice,…
We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model,…
We study a dynamic asset pricing problem in which a representative agent is ambiguous about the aggregate endowment growth rate and trades a risky stock, human capital, and a risk-free asset to maximize her preference value of consumption…
We propose a machine learning method to solve a mean-field game price formation model with common noise. This involves determining the price of a commodity traded among rational agents subject to a market clearing condition imposed by…
Cloud computing allows subscription based access to computing. It also allows storage services over Internet. Automated Negotiation is becoming an emerging, and important area in the field of Multi Agent Systems in ECommerce. Multi Agent…
We show that infinite divisibility of a trading commodity leads to a self-sustained price bubble when traders use adaptive investment strategies. The adaptive strategy can be viewed as a psychological response of a trader to the situation…
We prove the existence of an equilibrium in a model with transaction costs and price impact where two agents are incentivized to trade towards a target. The two types of frictions -- price impact and transaction costs -- lead the agents to…
Market makers play an important role in providing liquidity to markets by continuously quoting prices at which they are willing to buy and sell, and managing inventory risk. In this paper, we build a multi-agent simulation of a dealer…
This research proposes a novel auction mechanism for transactive energy exchange between buyers and sellers, modeled as agents in a microgrid. The mechanism is implemented by a separate microgrid controller (MC) agent, and requires big data…
We study the continuous time Kyle-Back model with a risk averse informed trader.We show that in a market with multiple assets and non-Gaussian prices an equilibrium exists. The equilibrium is constructed by considering a Fokker-Planck…
We analyze a model of selling a single object to a principal-agent pair who want to acquire the object for a firm. The principal and the agent have different assessments of the object's value to the firm. The agent is budget-constrained…
Flexible algorithm of multicurrency trade on Forex market has been built on the grounds of non-linear stochastic wavelets (NSW) model. Probability of the loss-free trade has been evaluated. Results of the algorithm's real-time testing and…
This article presents a set of tools for the modeling of a spatial allocation problem in a large geographic market and gives examples of applications. In our settings, the market is described by a network that maps the cost of travel…