Related papers: Insider trading in discrete time Kyle games

We present a novel microscopic stock market model consisting of a large number of random agents modeling traders in a market. Each agent is characterized by a set of parameters that serve to make iterated predictions of two successive…

We study a Stackelberg variant of the classical discrete-time Dynkin game, in which Player 1 (the leader) commits to a stopping strategy first and Player 2 (the follower) responds optimally. This leader-follower structure induces an optimal…

An insider is a team member who covertly deviates from the team's optimal collaborative strategy to pursue a private objective while still appearing cooperative. Such an insider may initially behave cooperatively but later switch to selfish…

We study a general formulation of the classical two-player Dynkin game in a discrete time Markovian setting. We identify an appropriate class of mixed strategies -- \textit{Markovian randomized stopping times} -- in which players stop at…

We investigate stochastic differential games of optimal trading comprising a finite population. There are market frictions in the present framework, which take the form of stochastic permanent and temporary price impacts. Moreover,…

We consider a stochastic game between a slow institutional investor and a high-frequency trader who are trading a risky asset and their aggregated order-flow impacts the asset price. We model this system by means of two coupled stochastic…

We consider finite-horizon and infinite-horizon versions of a dynamic game with $N$ selfish players who observe their types privately and take actions that are publicly observed. Players' types evolve as conditionally independent Markov…

This paper studies a 2-players zero-sum Dynkin game arising from pricing an option on an asset whose rate of return is unknown to both players. Using filtering techniques we first reduce the problem to a zero-sum Dynkin game on a…

We study a multi-player stochastic differential game, where agents interact through their joint price impact on an asset that they trade to exploit a common trading signal. In this context, we prove that a closed-loop Nash equilibrium…

We consider the dynamics of player's strategies in repeated market games, where the selection of strategies is determined by a learning model. Prior theoretical analysis and experimental data show that after large number of plays the…

We study a very general class of games --- multi-dimensional aggregative games --- which in particular generalize both anonymous games and weighted congestion games. For any such game that is also large, we solve the equilibrium selection…

We introduce a model of super-exponential financial bubbles with two assets (risky and risk-free), in which rational investors and noise traders co-exist. Rational investors form expectations on the return and risk of a risky asset and…

We analyze a two-period, two-market chain-store game in which an incumbent's conduct in one market is only sometimes seen in the other. This partial observability generates reputational spillovers across markets. We characterize equilibrium…

Subtraction games have a rich literature as normal-play combinatorial games (e.g., Berlekamp, Conway, and Guy, 1982). Recently, the theory has been extended to zero-sum scoring play (Cohensius et al. 2019). Here, we take the approach of…

We introduce a formalism modelling communication of distributed agents strictly in continuous-time. Within this framework, we study the problem of synthesising local strategies for individual agents such that a specified set of goal states…

We study a continuous-time stochastic Stackelberg game in which a leader seeks to accomplish a primary objective while inferring a hidden parameter of a rational follower. The follower solves an entropy-regularized tracking problem and…

We develop an extension of the classical model of DeGroot (1974) to a continuum of agents when they interact among them according to a DiKernel. We show that, under some regularity assumptions, the continuous model is the limit case of the…

We study a class of optimal stopping games (Dynkin games) of preemption type, with uncertainty about the existence of competitors. The set-up is well-suited to model, for example, real options in the context of investors who do not want to…

An extensive literature in economics and social science addresses contests, in which players compete to outperform each other on some measurable criterion, often referred to as a player's score, or output. Players incur costs that are an…

The purpose of this note is to prove the celebrated Discrete Renewal Theorem in a common special case. We use only very elementary methods from real analysis, rather than markov chain theory, complex analysis, or generating functions.…