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An agent-based computational economical toy model for the emergence of money from the initial barter trading, inspired by Menger's postulate that money can spontaneously emerge in a commodity exchange economy, is extensively studied. The…
Are rewards or penalties more effective in influencing user behavior? This work compares the effectiveness of subsidies and tolls in incentivizing user behavior in congestion games. The predominantly studied method of influencing user…
Designing a financial market that works well is very important for developing and maintaining an advanced economy, but is not easy because changing detailed rules, even ones that seem trivial, sometimes causes unexpected large impacts and…
Do we know if a short selling ban or a Tobin Tax result in more stable asset prices? Or do they in fact make things worse? Just like medicine regulatory measures in financial markets aim at improving an already complex system. And just like…
We develop a theory for the market impact of large trading orders, which we call metaorders because they are typically split into small pieces and executed incrementally. Market impact is empirically observed to be a concave function of…
This paper studies the optimal investment problem with random endowment in an inventory-based price impact model with competitive market makers. Our goal is to analyze how price impact affects optimal policies, as well as both pricing rules…
Prices in financial markets exhibit extreme jumps far more often than can be accounted for by external news. Further, magnitudes of price changes are correlated over long times. These so called stylized facts are quantified by scaling laws…
Traders in a market typically have widely different, private information on the return of an asset. The equilibrium price of the asset may reflect this information more accurately if the number of traders is large enough compared to the…
The competitive nature of Cloud marketplaces as new concerns in delivery of services makes the pricing policies a crucial task for firms. so that, pricing strategies has recently attracted many researchers. Since game theory can handle such…
Electricity markets are transforming from the dominance of conventional energy resources (CERs), e.g., fossil fuels, to low-carbon energy resources (LERs), e.g., renewables and energy storage. This work examines market mechanisms to…
As awareness of health and environmental issues grows, the demand for organic food is rising worldwide, yet consumers still struggle to distinguish genuine organic products from conventional ones. This information asymmetry creates…
We study a toy two-player game for periodic double auction markets to generate liquidity. The game has imperfect information, which allows us to link market spreads with signal strength. We characterize Nash equilibria in cases with or…
We study optimal execution in markets with transient price impact in a competitive setting with $N$ traders. Motivated by prior negative results on the existence of pure Nash equilibria, we consider randomized strategies for the traders and…
The price impact for a single trade is estimated by the immediate response on an event time scale, i.e., the immediate change of midpoint prices before and after a trade. We work out the price impacts across a correlated financial market.…
Interaction strategies for reward in competitive environments are significantly influenced by the nature and extent of available information. In financial markets, particularly foreign exchange (forex), traders operate independently with…
Mechanisms for decentralized finance on blockchains suffer from various problems, including suboptimal price execution for users, latency, and a worse user experience compared to their centralized counterparts. Recently, off-chain…
Modern financial market dynamics warrant detailed analysis due to their significant impact on the world. This, however, often proves intractable; massive numbers of agents, strategies and their change over time in reaction to each other…
In economics literature, it is accepted that all people are rational and they try to maximize their utilities as possible as they can. In addition, economic theories are formed with the assumptions not suitable to real life. For instance,…
The spread of COVID-19 and ensuing containment measures have accentuated the profound interdependence among nations or regions. This has been particularly evident in tourism, one of the sectors most affected by uncoordinated mobility…
Tax evasion, usually the largest component of an informal economy, is a persistent challenge over history with significant socio-economic implications. Many socio-economic studies investigate its dynamics, including influencing factors, the…