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A new simple model of financial market is proposed, based on the sequential and inter-temporal nature of trader-trader interaction, and on a new simple trading strategy space. In this pattern-based speculation model, the traders open and…
In this paper, we study proximal type dynamics in the context of noncooperative multi-agent network games. These dynamics arise in different applications, since they describe distributed decision making in multi-agent networks, e.g., in…
Westudy how a planner can design dynamic interventions to overcome status-quo inertia in living temporal games, where strategic agents control their state (active, sleep, partially dead) on a temporal network. Building on the…
We extend the construction of equilibria for linear-quadratic and mean-variance portfolio problems available in the literature to a large class of mean-field time-inconsistent stochastic control problems in continuous time. Our approach…
In this paper, we propose an equilibrium pricing model in a dynamic multi-period stochastic framework with uncertain income streams. In an incomplete market, there exist two traded risky assets (e.g. stock/commodity and weather derivative)…
A special case of Myerson's classic result describes the revenue-optimal equilibrium when a seller offers a single item to a buyer. We study a repeated sales extension of this model: a seller offers to sell a single fresh copy of an item to…
Deep Q-learning is investigated as an end-to-end solution to estimate the optimal strategies for acting on time series input. Experiments are conducted on two idealized trading games. 1) Univariate: the only input is a wave-like price time…
Nash equilibrium is a central solution concept for reasoning about self-interested agents. We address the problem of synthesizing Nash equilibria in two-player deterministic games on graphs, where players have private, partially-ordered…
Algorithmic trading in modern financial markets is widely acknowledged to exhibit strategic, game-theoretic behaviors whose complexity can be difficult to model. A recent series of papers (Chriss, 2024b,c,a, 2025) has made progress in the…
This work presents some results regarding three-dimensional billiards having a non-constant potential of Keplerian type inside a regular domain $D\subset \mathcal R^3$. Two models will be analysed: in the first one, only an inner Keplerian…
This paper proposes a new differentially private distributed Nash equilibrium seeking algorithm for aggregative games under time-varying unbalanced directed communication graphs. Random independent Laplace noises are injected into the…
In the present work we deal with set-valued equilibrium problems for which we provide sufficient conditions for the existence of a solution. The conditions that we consider are imposed not on the whole domain, but rather on a self…
This paper proposes a differentially private energy trading mechanism for prosumers in peer-to-peer (P2P) markets, offering provable privacy guarantees while approaching the Nash equilibrium with nearly socially optimal efficiency. We first…
Through a stochastic control theoretic approach, we analyze reputation games where a strategic long-lived player acts in a sequential repeated game against a collection of short-lived players. The key assumption in our model is that the…
We establish the existence and uniqueness of distributed equilibria to possibly nonsymmetric $N$ player differential games with interactions through controls under displacement semimonotonicity assumptions. Surprisingly, the nonseparable…
We consider 2-player stochastic games with perfectly observed actions, and study the limit, as the discount factor goes to one, of the equilibrium payoffs set. In the usual setup where current states are observed by the players, we show…
We study the high-frequency limit of an $n$-trader optimal execution game in discrete time. Traders face transient price impact of Obizhaeva--Wang type in addition to quadratic instantaneous trading costs $\theta(\Delta X_t)^2$ on each…
A simple but nontrivial class of the quantum strategies in buying-selling games is presented. The player moves are a rational buying and an unconditional selling. The possibility of gaining extremal profits in such the games is considered.…
This paper focuses on some simple models of limit order book dynamics which simulate market trading mechanisms. We start with a discrete time/space Markov process and then perform a re-scaling procedure leading to a deterministic dynamical…
We study a multi-agent setting in which brokers transact with an informed trader. Through a sequential Stackelberg-type game, brokers manage trading costs and adverse selection with an informed trader. In particular, supplying liquidity to…