Related papers: Nash Equilibrium between Brokers and Traders

We present a simple dynamic equilibrium model for an online exchange where both buyers and sellers arrive according to a exogenously defined stochastic process. The structure of this exchange is motivated by the limit order book mechanism…

We study a toy two-player game for periodic double auction markets to generate liquidity. The game has imperfect information, which allows us to link market spreads with signal strength. We characterize Nash equilibria in cases with or…

In this paper, we consider the problem of finding a Nash equilibrium in a multi-player game over generally connected networks. This model differs from a conventional setting in that players have partial information on the actions of their…

We consider an example of stochastic games with partial, asymmetric and non-classical information. We obtain relevant equilibrium policies using a new approach which allows managing the belief updates in a structured manner. Agents have…

Today's queueing network systems are more rapidly evolving and more complex than those of even a few years ago. The goal of this paper is to study customers' behavior in an unobservable Markovian M/M/1 queue where consumers have to choose…

We analyze a tractable model of a limit order book on short time scales, where the dynamics are driven by stochastic fluctuations between supply and demand. We establish the existence of a limiting distribution for the highest bid, and for…

We study the continuous time Kyle-Back model with a risk averse informed trader.We show that in a market with multiple assets and non-Gaussian prices an equilibrium exists. The equilibrium is constructed by considering a Fokker-Planck…

The fair division of resources is an important age-old problem that has led to a rich body of literature. At the center of this literature lies the question of whether there exist fair mechanisms despite strategic behavior of the agents. A…

A single server commences its service at time zero every day. A random number of customers decide when to arrive to the system so as to minimize the waiting time and tardiness costs. The costs are proportional to the waiting time and the…

We introduce a new framework to study the group dynamics and game-theoretic considerations when voters in a committee are allowed to trade votes. This model represents a significant step forward by considering vote-for-vote trades in a…

This paper presents an equilibrium model of dynamic trading, learning, and pricing by strategic investors with trading targets and price impact. Since trading targets are private, rebalancers and liquidity providers filter the child order…

In this paper, we consider a Nash equilibrium seeking problem for a class of high-order multi-agent systems with unknown dynamics. Different from existing results for single integrators, we aim to steer the outputs of this class of…

We find an approximate Nash equilibrium in a game between decentralized exchanges (DEXs) that compete for order flow by setting dynamic trading fees. We characterize the equilibrium via a coupled system of partial differential equations and…

While Nash equilibrium has emerged as the central game-theoretic solution concept, many important games contain several Nash equilibria and we must determine how to select between them in order to create real strategic agents. Several Nash…

This paper considers a distributed gossip approach for finding a Nash equilibrium in networked games on graphs. In such games a player's cost function may be affected by the actions of any subset of players. An interference graph is…

Within a common arbitrage-free semimartingale financial market we consider the problem of determining all Nash equilibrium investment strategies for $n$ agents who try to maximize the expected utility of their relative wealth. The utility…

We address Nash equilibrium problems in a partial-decision information scenario, where each agent can only exchange information with some neighbors, while its cost function possibly depends on the strategies of all agents. We characterize…

This paper considers a two-player game where each player chooses a resource from a finite collection of options. Each resource brings a random reward. Both players have statistical information regarding the rewards of each resource.…

The Glosten-Milgrom model describes a single asset market, where informed traders interact with a market maker, in the presence of noise traders. We derive an analogy between this financial model and a Szil\'ard information engine by {\em…

We study optimal equilibria in multi-player games. An equilibrium is optimal for a player, if her payoff is maximal. A tempting approach to solving this problem is to seek optimal Nash equilibria, the standard form of equilibria where no…