Related papers: Nash Equilibrium between Brokers and Traders
We present a novel approach to describing the microstructure of high frequency trading using two key elements. First we introduce a new notion of informed trader which we starkly contrast to current informed trader models. We describe the…
A distributed Nash equilibrium seeking algorithm is presented for networked games. We assume an incomplete information available to each player about the other players' actions. The players communicate over a strongly connected digraph to…
In bandwidth allocation, competing agents wish to transmit data along paths of links in a network, and each agent's utility is equal to the minimum bandwidth she receives among all links in her desired path. Recent market mechanisms for…
Games with incomplete preferences are an important model for studying rational decision-making in scenarios where players face incomplete information about their preferences and must contend with incomparable outcomes. We study the problem…
In multi-agent autonomous systems, deception is a fundamental concept which characterizes the exploitation of unbalanced information to mislead victims into choosing oblivious actions. This effectively alters the system's long term…
This paper considers dyadic-exchange networks in which individual agents autonomously form coalitions of size two and agree on how to split a transferable utility. Valid results for this game include stable (if agents have no unilateral…
Current research in distributed Nash equilibrium (NE) seeking in the partial information setting assumes that information is exchanged between agents that are "truthful". However, in general noncooperative games agents may consider sending…
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…
We study discrete two player all-pay auction with complete information. We provide full characterization of mixed strategy Nash equilibria and show that they constitute a subset of Nash equilibria of discrete General Lotto game. We show…
This paper develops a distributed Nash Equilibrium seeking algorithm for heterogeneous multi-robot systems. The algorithm utilises distributed optimisation and output control to achieve the Nash equilibrium by leveraging information shared…
We investigate stochastic utility maximization games under relative performance concerns in both finite-agent and infinite-agent (graphon) settings. An incomplete market model is considered where agents with power (CRRA) utility functions…
We investigate the behavior of equilibria in an $M/M/1$ feedback queue where price and time sensitive customers are homogeneous with respect to service valuation and cost per unit time of waiting. Upon arrival, customers can observe the…
We study pure Nash equilibria in infinite-duration games on graphs, with partial visibility of actions but communication (based on a graph) among the players. We show that a simple communication mechanism consisting in reporting the…
We consider a game-theoretic setting to model the interplay between attacker and defender in the context of information flow, and to reason about their optimal strategies. In contrast with standard game theory, in our games the utility of a…
We study a simple model of an asset market with informed and non-informed agents. In the absence of non-informed agents, the market becomes information efficient when the number of traders with different private information is large enough.…
Auto-bidding has become a cornerstone of modern online advertising platforms, enabling many advertisers to automate bidding at scale and optimize campaign performance. However, prevailing industrial systems rely on single-agent auto-bidding…
We study the strategic purchasing of priorities in a time-dependent accumulating priority M/G/$1$ queue. We formulate a non-cooperative game in which customers purchase priority coefficients with the goal of reducing waiting costs in…
We explore brokerage between traders in an online learning framework. At any round $t$, two traders meet to exchange an asset, provided the exchange is mutually beneficial. The broker proposes a trading price, and each trader tries to sell…
We consider a periodic double auction (PDA) setting where buyers of the auction have multiple (but finite) opportunities to procure multiple but fixed units of a commodity. The goal of each buyer participating in such auctions is to reduce…
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…