Related papers: Insider trading in discrete time Kyle games
We consider in discrete time, a general class of sequential stochastic dynamic games with asymmetric information with the following features. The underlying system has Markovian dynamics controlled by the agents' joint actions. Each agent's…
We consider two-player non-zero-sum stopping games in discrete time. Unlike Dynkin games, in our games the payoff of each player is revealed after both players stop. Moreover, each player can adjust her own stopping strategy according to…
We study infinitely repeated games in settings of imperfect monitoring. We first prove a family of theorems that show that when the signals observed by the players satisfy a condition known as $(\epsilon, \gamma)$-differential privacy, that…
This paper formally models the strategic repeated interactions between a system, comprising of a machine learning (ML) model and associated explanation method, and an end-user who is seeking a prediction/label and its explanation for a…
We propose a distributed algorithm to compute an equilibrium in aggregate games where players communicate over a fixed undirected network. Our algorithm exploits correlated perturbation to obfuscate information shared over the network. We…
This paper considers the theoretical, computational, and econometric properties of continuous time dynamic discrete choice games with stochastically sequential moves, introduced by Arcidiacono, Bayer, Blevins, and Ellickson (2016). We…
We find closed-form solutions to the stochastic game between a broker and a mean-field of informed traders. In the finite player game, the informed traders observe a common signal and a private signal. The broker, on the other hand,…
The timing of strategic exit is one of the most important but difficult business decisions, especially under competition and uncertainty. Motivated by this problem, we examine a stochastic game of exit in which players are uncertain about…
The distributed computation of a Nash equilibrium in aggregative games is gaining increased traction in recent years. Of particular interest is the mediator-free scenario where individual players only access or observe the decisions of…
We consider a dynamic pricing problem for repeated contextual second-price auctions with multiple strategic buyers who aim to maximize their long-term time discounted utility. The seller has limited information on buyers' overall demand…
We study a finite-horizon dynamic wholesale-price contract between a manufacturer and a retailer, both of whom observe only sales, rather than the true demand. When the retailer stocks out, unmet demand is unobserved, so both parties update…
In this paper, we present a multi-period trading model by assuming that traders face not only asymmetric information but also heterogenous prior beliefs, under the requirement that the insider publicly disclose his stock trades after the…
The Kelly or proportional allocation mechanism is a simple and efficient auction-based scheme that distributes an infinitely divisible resource proportionally to the agents bids. When agents are aware of the allocation rule, their…
We propose a new sequential Efficient Pseudo-Likelihood (k-EPL) estimator for dynamic discrete choice games of incomplete information. k-EPL considers the joint behavior of multiple players simultaneously, as opposed to individual responses…
We consider three distinct discrete-time models of learning and evolution in games: a biological model based on intra-species selective pressure, the dynamics induced by pairwise proportional imitation, and the exponential / multiplicative…
In this paper we further extend the optimal bubble riding model proposed by Tangpi and Wang by allowing for price-dependent entry times. Agents are characterized by their individual entry threshold that represents their belief in the…
The paper develops general, discrete, non-probabilistic market models and minmax price bounds leading to price intervals for European options. The approach provides the trajectory based analogue of martingale-like properties as well as a…
Finite-player dynamic games with dispersed private information are difficult because actions both move payoffs and reshape what opponents learn, generating hierarchies of beliefs about beliefs. This paper provides a recursive representation…
We study equilibrium finding in polymatrix games under differential privacy constraints. Prior work in this area fails to achieve both high-accuracy equilibria and a low privacy budget. To better understand the fundamental limitations of…
In two-player games on graphs, the players move a token through a graph to produce an infinite path, which determines the winner of the game. Such games are central in formal methods since they model the interaction between a…