Related papers: A multi-agent targeted trading equilibrium with tr…
We consider a market impact game for $n$ risk-averse agents that are competing in a market model with linear transient price impact and additional transaction costs. For both finite and infinite time horizons, the agents aim to minimize a…
In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following and contrarian…
We study the formation of derivative prices in equilibrium between risk-neutral agents with heterogeneous beliefs about the dynamics of the underlying. Under the condition that the derivative cannot be shorted, we prove the existence of a…
A continuous-time Markowitz's mean-variance portfolio selection problem is studied in a market with one stock, one bond, and proportional transaction costs. This is a singular stochastic control problem,inherently in a finite time horizon.…
Identical products being sold at different prices in different locations is a common phenomenon. Price differences might occur due to various reasons such as shipping costs, trade restrictions and price discrimination. To model such…
In this paper, we consider discrete-time dynamic games of the mean-field type with a finite number $N$ of agents subject to an infinite-horizon discounted-cost optimality criterion. The state space of each agent is a locally compact Polish…
The study of repeated interactions between a learner and a utility-maximizing optimizer has yielded deep insights into the manipulability of learning algorithms. However, existing literature primarily focuses on independent, unlinked…
The aim of this short note is to establish a limit theorem for the optimal trading strategies in the setup of the utility maximization problem with proportional transaction costs. This limit theorem resolves the open question from [4]. The…
Throttling is a popular method of budget management for online ad auctions in which the platform modulates the participation probability of an advertiser in order to smoothly spend her budget across many auctions. In this work, we…
We study the envy free pricing problem faced by a seller who wishes to maximize revenue by setting prices for bundles of items. If there is an unlimited supply of items and agents are single minded then we show that finding the revenue…
We extend the framework of trading strategies of Gatheral [2010] from single stocks to a pair of stocks. Our trading strategy with the executions of two round-trip trades can be described by the trading rates of the paired stocks and the…
Consider a multi-class preemptive-resume $M/D/1$ queueing system that supports advance reservations (AR). In this system, strategic customers must decide whether to reserve a server in advance (thereby gaining higher priority) or avoid AR.…
The existence of a (partial) market equilibrium price is proved in a complete, continuous time finite-agent market setting. The economic agents act as price takers in a fully competitive setting and maximize exponential utility from…
We investigate a market without money in which agents can offer certain goods (or multiple copies of an agent-specific good) in exchange for goods of other agents. The exchange must be balanced in the sense that each agent should receive a…
With recent development of artificial intelligence, it is more common to adopt AI agents in economic activities. This paper explores the economic actions of agents, including human agents and AI agents, in an economic game of trading…
The classical discrete time model of proportional transaction costs relies on the assumption that a feasible portfolio process has solvent increments at each step. We extend this setting in two directions, allowing for convex transaction…
In financial applications, latency advantages -- the ability to make decisions later than others, even without the ability to see what others have done -- can provide individual participants with an edge by allowing them to gather…
The efficient market hypothesis (EMH) famously stated that prices fully reflect the information available to traders. This critically depends on the transfer of information into prices through trading strategies. Traders optimise their…
Consider a barter exchange problem over a finite set of agents, where each agent owns an item and is also associated with a (privately known) wish list of items belonging to the other agents. An outcome of the problem is a (re)allocation of…
In a market with one safe and one risky asset, an investor with a long horizon, constant investment opportunities, and constant relative risk aversion trades with small proportional transaction costs. We derive explicit formulas for the…