Related papers: Fast and Slow Optimal Trading with Exogenous Infor…
We study a continuous-time stochastic Stackelberg game in which a leader seeks to accomplish a primary objective while inferring a hidden parameter of a rational follower. The follower solves an entropy-regularized tracking problem and…
By utilizing tools from game theory, we develop a novel multi-period-multi-company demand response framework considering the interactions between companies (sellers of energy) and their consumers (buyers of energy). We model the…
This paper considers the problem of consumption and investment in a financial market within a continuous time stochastic economy. The investor exhibits a change in the discount rate. The investment opportunities are a stock and a riskless…
This paper aims to solve the optimal strategy against a well-known adaptive algorithm, the Hedge algorithm, in a finitely repeated $2\times 2$ zero-sum game. In the literature, related theoretical results are very rare. To this end, we make…
We consider a two-way trading problem, where investors buy and sell a stock whose price moves within a certain range. Naturally they want to maximize their profit. Investors can perform up to $k$ trades, where each trade must involve the…
Regarding the intraday sequence of high frequency returns of the S&P index as daily realizations of a given stochastic process, we first demonstrate that the scaling properties of the aggregated return distribution can be employed to define…
We study a continuous time economy where throughout time, insiders receive private signals regarding the risky assets' terminal payoff. We prove existence of a partial communication equilibrium where, at each private signal time, the public…
We model the trading activity between a broker and her clients (informed and uninformed traders) as an infinite-horizon stochastic control problem. We derive the broker's optimal dealing strategy in closed form and use this to introduce an…
This paper analyzes a finite horizon dynamic signaling game motivated by the well-known strategic information transmission problems in economics. The mathematical model involves information transmission between two agents, a sender who…
Algorithmic trading in modern financial markets is widely acknowledged to exhibit strategic, game-theoretic behaviors whose complexity can be difficult to model. A recent series of papers (Chriss, 2024b,c,a, 2025) has made progress in the…
Alpha signals for statistical arbitrage strategies are often driven by latent factors. This paper analyses how to optimally trade with latent factors that cause prices to jump and diffuse. Moreover, we account for the effect of the trader's…
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…
In this paper, we propose a hierarchical game approach to model the energy efficiency maximization problem where transmitters individually choose their channel assignment and power control. We conduct a thorough analysis of the existence,…
Successful animal systems often manage risk through synchronous behavior that spontaneously arises without leadership. In critical human systems facing risk, such as financial markets or military operations, our understanding of the…
The present paper provides a study of high-dimensional statistical arbitrage that combines factor models with the tools from stochastic control, obtaining closed-form optimal strategies which are both interpretable and computationally…
Stochastic patrol routing is known to be advantageous in adversarial settings; however, the optimal choice of stochastic routing strategy is dependent on a model of the adversary. We adopt a worst-case omniscient adversary model from the…
Signals coming from multivariate higher order conditional moments as well as the information contained in exogenous covariates, can be effectively exploited by rational investors to allocate their wealth among different risky investment…
In online portfolio optimization the investor makes decisions based on new, continuously incoming information on financial assets (typically their prices). In our study we consider a learning algorithm, namely the Kiefer--Wolfowitz version…
This paper studies a stochastic robotic surveillance problem where a mobile robot moves randomly on a graph to capture a potential intruder that strategically attacks a location on the graph. The intruder is assumed to be omniscient: it…
This paper is concerned with a two-person zero-sum indefinite stochastic linear-quadratic Stackelberg differential game with asymmetric informational uncertainties, where both the leader and follower face different and unknown disturbances.…