Related papers: Insider trading in discrete time Kyle games

Consider a two-person zero-sum search game between a hider and a searcher. The hider hides among $n$ discrete locations, and the searcher successively visits individual locations until finding the hider. Known to both players, a search at…

In this work we apply methods from cryptography to enable any number of mutually distrusting players to implement broad classes of mediated equilibria of strategic games without the need for trusted mediation. Our implementation makes use…

In evolutionary game theory, evolutionarily stable states are characterised by the folk theorem because exact solutions to the replicator equation are difficult to obtain. It is generally assumed that the folk theorem, which is the…

We consider the pricing of derivatives in a setting with trading restrictions, but without any probabilistic assumptions on the underlying model, in discrete and continuous time. In particular, we assume that European put or call options…

We address the equilibrium concept of a reverse auction game so that no one can enhance the individual payoff by a unilateral change when all the others follow a certain strategy. In this approach the combinatorial possibilities to consider…

In this paper, we study which data can be induced by a correlated equilibrium given a known finite simultaneous move game. We assume that an analyst has access to the frequency of each agent's actions but does not have access to the…

We consider repeated games where the players behave according to cumulative prospect theory (CPT). We show that, when the players have calibrated strategies and behave according to CPT, the natural analog of the notion of correlated…

We develop a formalism to describe the discrete-time dynamics of systems containing an arbitrary number of interacting species. The individual-based model, which forms our starting point, is described by a Markov chain, which in the limit…

We investigate coarse equilibrium states of a fine-scale, stochastic agent-based model of consumer lock-in in a duopolistic market. In the model, agents decide on their next purchase based on a combination of their personal preference and…

In this paper, we study a class of discrete-time mean-field games under the infinite-horizon risk-sensitive discounted-cost optimality criterion. Risk-sensitivity is introduced for each agent (player) via an exponential utility function. In…

In this paper, we study decentralized decision-making where agents optimize private objectives under incomplete information and imperfect public monitoring, in a non-cooperative setting. By shaping utilities-embedding shadow prices or…

Expanding the ideas of the author's paper 'Nonexpansive maps and option pricing theory' (Kibernetica 34:6 (1998), 713-724) we develop a pure game-theoretic approach to option pricing, by-passing stochastic modeling. Risk neutral…

Despite the importance of this variable in the macroeconomic context, current research on job insecurity remains mainly confined to its non-systemic dimension. The research aim of this paper is to identify the short-run and long-run…

This paper introduces two fundamentally new concepts to game theory: multilateral Nash equilibria and families of games. Starting with non-cooperative games, we show how these notions together seamlessly integrate into and naturally extend…

Infinitely repeated games can support cooperative outcomes that are not equilibria in the one-shot game. The idea is to make sure that any gains from deviating will be offset by retaliation in future rounds. However, this model of…

One of the natural objectives of the field of the social networks is to predict agents' behaviour. To better understand the spread of various products through a social network arXiv:1105.2434 introduced a threshold model, in which the nodes…

A class of nonzero-sum stochastic dynamic games with imperfect information structure is investigated. The game involves an arbitrary number of players, modeled as homogeneous Markov decision processes, aiming to find a sequential Nash…

This paper examines equilibria in dynamic two-sided matching games, extending Gale and Shapley's foundational model to a non-cooperative, decentralized, and dynamic framework. We focus on markets where agents have utility functions and…

A group of players which contain n sellers and n buyers bargain over the partitions of n pies. A seller(/buyer) has to reach an agreement with a buyer (/seller) on the division of a pie. The players bargain in a system like the stock…

The time proximity of high-frequency trades can contain a salient signal. In this paper, we propose a method to classify every trade, based on its proximity with other trades in the market within a short period of time, into five types. By…