Related papers: Trade execution games in a Markovian environment
Building upon the eco-evolutionary game dynamics framework established by Tilman et al., we investigate stochastic fluctuations in a two-strategy system incorporating environmental feedback mechanisms, where the payoff matrix exhibits…
We employ a 2x3 factorial experiment to study two central factors in the design of prediction markets (PMs) for idea evaluation: the overall design of the PM, and the elasticity of market prices set by a market maker. The results show that…
We introduce a price impact model which accounts for finite market depth, tightness and resilience. Its coupled bid- and ask-price dynamics induce convex liquidity costs. We provide existence of an optimal solution to the classical problem…
The use of reinforcement learning algorithms in financial trading is becoming increasingly prevalent. However, the autonomous nature of these algorithms can lead to unexpected outcomes that deviate from traditional game-theoretical…
In the large financial market, which is described by a model with countably many traded assets, we formulate the problem of the expected utility maximization. Assuming that the preferences of an economic agent are modeled with a stochastic…
Some of the most relevant future applications of multi-agent systems like autonomous driving or factories as a service display mixed-motive scenarios, where agents might have conflicting goals. In these settings agents are likely to learn…
This paper examines the role of algorithmic trading in modern financial markets. Additionally, order types, characteristics, and special features of algorithmic trading are described under the lens provided by the large development of high…
We study a stochastic game framework with dynamic set of players, for modeling and analyzing their computational investment strategies in distributed computing. Players obtain a certain reward for solving the problem or for providing their…
Traders constantly consider the price impact associated with changing their positions. This paper seeks to understand how price impact emerges from the quoting strategies of market makers. To this end, market making is modeled as a dynamic…
Execution algorithms are vital to modern trading, they enable market participants to execute large orders while minimising market impact and transaction costs. As these algorithms grow more sophisticated, optimising them becomes…
We analyze the relation between earning forecast accuracy and expected profitability of financial analysts. Modeling forecast errors with a multivariate Gaussian distribution, a complete characterization of the payoff of each analyst is…
This article considers the pricing and hedging of a call option when liquidity matters, that is, either for a large nominal or for an illiquid underlying asset. In practice, as opposed to the classical assumptions of a price-taking agent in…
We introduce Mean Field Markov games with $N$ players, in which each individual in a large population interacts with other randomly selected players. The states and actions of each player in an interaction together determine the…
The paper addresses a problem of sequential bilateral bargaining with incomplete information. We proposed a decision model that helps agents to successfully bargain by performing indirect negotiation and learning the opponent's model.…
In the seminal paper on optimal execution of portfolio transactions, Almgren and Chriss (2001) define the optimal trading strategy to liquidate a fixed volume of a single security under price uncertainty. Yet there exist situations, such as…
Evolutionary game theory is a powerful mathematical framework to study how intelligent individuals adjust their strategies in collective interactions. It has been widely believed that it is impossible to unilaterally control players'…
We consider the strategic interaction of traders in a continuous-time financial market with Epstein-Zin-type recursive intertemporal preferences and performance concerns. We derive explicitly an equilibrium for the finite player and the…
We investigate the well-posedness in the Hadamard sense and the absence of price manipulation in the optimal execution problem within the Almgren-Chriss framework, where the temporary and permanent impact parameters vary deterministically…
We present an elementary state augmentation method for a class of static risk measure applied to the total cost for both Markov decision processes and stochastic optimal control, such that dynamic programming equations can be derived on the…
Two-sided matching markets have long existed to pair agents in the absence of regulated exchanges. A common example is school choice, where a matching mechanism uses student and school preferences to assign students to schools. In such…