Related papers: Insider trading in discrete time Kyle games
This paper considers the problem of Nash equilibrium (NE) seeking in aggregative games, where the payoff function of each player depends on an aggregate of all players' actions. We present a distributed continuous time algorithm such that…
In this paper, continuous-time noncooperative games in networks of double-integrator agents are explored. The existing methods require that agents communicate with their neighbors in real time. In this paper, we propose two discrete-time…
Figgie is a card game that approximates open-outcry commodities trading. We design strategies for Figgie and study their performance and the resulting market behavior. To do this, we develop a flexible agent-based discrete-event market…
We construct two models of discrete-time replicator dynamics with time delay. In the social-type model, players imitate opponents taking into account average payoffs of games played some units of time ago. In the biological-type model, new…
Universal features in stock markets and their derivative markets are studied by means of probability distributions in internal rates of return on buy and sell transaction pairs. Unlike the stylized facts in log normalized returns, the…
We consider a discrete-time dynamic search game in which a number of players compete to find an invisible object that is moving according to a time-varying Markov chain. We examine the subgame perfect equilibria of these games. The main…
Sequential auctions for identical items with unit-demand, private-value buyers are common and often occur periodically without end, as new bidders replace departing ones. We model bidder uncertainty by introducing a probability that a…
We develop a hierarchical Bayesian dynamic game for competitive inventory and pricing under incomplete information. Two firms repeatedly choose order quantities and prices while facing two layers of uncertainty: unknown market demand and…
In this expository paper we illustrate the generality of game theoretic probability protocols of Shafer and Vovk (2001) in finite-horizon discrete games. By restricting ourselves to finite-horizon discrete games, we can explicitly describe…
The large majority of risk-sharing transactions involve few agents, each of whom can heavily influence the structure and the prices of securities. This paper proposes a game where agents' strategic sets consist of all possible sharing…
We show that the statistics of spreads in real order books is characterized by an intrinsic asymmetry due to discreteness effects for even or odd values of the spread. An analysis of data from the NYSE order book points out that traders'…
While auction theory views bids and valuations as continuous variables, real-world auctions are necessarily discrete. In this paper, we use a combination of analytical and computational methods to investigate whether incorporating…
We consider both $N$-player and mean-field games of optimal portfolio liquidation in which the players are not allowed to change the direction of trading. Players with an initially short position of stocks are only allowed to buy while…
In the standard formulation of mechanism design, a key assumption is that the designer has reliable information and technology to determine a prior distribution on types of the agents. In the meanwhile, as pointed out by the Wilson's…
Traditional solvable game theory and mean-field-type game theory (risk-aware games) predominantly focus on quadratic costs due to their analytical tractability. Nevertheless, they often fail to capture critical non-linearities inherent in…
We formulate and solve a multi-player stochastic differential game between financial agents who seek to cost-efficiently liquidate their position in a risky asset in the presence of jointly aggregated transient price impact, along with…
A Hidden Markov Model for intraday momentum trading is presented which specifies a latent momentum state responsible for generating the observed securities' noisy returns. Existing momentum trading models suffer from time-lagging caused by…
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…
Dynamic noncooperative game theory is a field of mathematics and economics in which a lot of research is being carried out at present featuring a great number of applications in many different areas of economics and management science like…
A partially parallel dynamical noisy binary choice (Ising) game in discrete time of $N$ players on complete graphs with $k$ players having a possibility of changing their strategies at each time moment called $k$-flip Ising game is…