Related papers: Nash Equilibrium between Brokers and Traders

We study the high-frequency limits of strategies and costs in a Nash equilibrium for two agents that are competing to minimize liquidation costs in a discrete-time market impact model with exponentially decaying price impact and quadratic…

Much work has been done on the computation of market equilibria. However due to strategic play by buyers, it is not clear whether these are actually observed in the market. Motivated by the observation that a buyer may derive a better…

We develop a tractable equilibrium model for price formation in intraday electricity markets in the presence of intermittent renewable generation. Using stochastic control theory, we identify the optimal strategies of agents with market…

Financial markets are often driven by latent factors which traders cannot observe. Here, we address an algorithmic trading problem with collections of heterogeneous agents who aim to perform optimal execution or statistical arbitrage, where…

Traders buy and sell financial instruments in hopes of making profit, and brokers are responsible for the transaction. There are several hypotheses and conspiracy theories arguing that in some situations, brokers want their traders to lose…

Financial transmission right (FTR) is an important tool and an especially feature for stopping congestion charges in restructured electricity markets. Participants in the transmission market as players are assumed to be a generation company…

In many real-world settings agents engage in strategic interactions with multiple opposing agents who can employ a wide variety of strategies. The standard approach for designing agents for such settings is to compute or approximate a…

We consider a market in which both suppliers and consumers compete for a product via scalar-parameterized supply offers and demand bids. Scalar-parameterized offers/bids are appealing due to their modeling simplicity and desirable…

We consider the process of bidding by electricity suppliers in a day-ahead market context where each supplier bids a linear non-decreasing function of her generating capacity with the goal of maximizing her individual profit given other…

We use techniques from the statistical mechanics of disordered systems to analyse the properties of Nash equilibria of bimatrix games with large random payoff matrices. By means of an annealed bound, we calculate their number and analyse…

We characterise the solutions to a continuous-time optimal liquidity provision problem in a market populated by informed and uninformed traders. In our model, the asset price exhibits fads -- these are short-term deviations from the…

This paper examines strategic trading under incomplete information, where firms lack full knowledge of key aspects of their competitors' trading strategies such as target sizes and market impact models. We extend previous work on…

Agents attempt to maximize expected profits earned by selling multiple units of a perishable product where their revenue streams are affected by the prices they quote as well as the distribution of other prices quoted in the market by other…

We construct an empirically founded model of a repo trade intermediated by two broker-dealers and prove multiple equilibrium and the existence of equilibrium at the joint profit maximizing volume of trade. We then present a smart contract…

We propose a toy model for a stochastic description of the competition between two athletes of unequal strength, whose average strength difference is represented by a parameter $d$. The athletes interact through the choice of their…

We study optimal execution in markets with transient price impact in a competitive setting with $N$ traders. Motivated by prior negative results on the existence of pure Nash equilibria, we consider randomized strategies for the traders and…

We present an experimental and simulated model of a multi-agent stock market driven by a double auction order matching mechanism. Studying the effect of cumulative information on the performance of traders, we find a non monotonic…

In this paper, we introduce a preliminary model for interactions in the data market. Recent research has shown ways in which a data aggregator can design mechanisms for users to ensure the quality of data, even in situations where the users…

Having fixed capacities, homogeneous products and price sensitive customer purchase decision are primary distinguishing characteristics of numerous revenue management systems. Even with two or three rivals, competition is still highly…

Secure equilibrium is a refinement of Nash equilibrium, which provides some security to the players against deviations when a player changes his strategy to another best response strategy. The concept of secure equilibrium is specifically…