Related papers: Nash Equilibrium between Brokers and Traders
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…
I consider an environment in which a decision maker faces uncertainty and privately holds information in the form of a signal about the true state of the world. The decision maker purchases additional information from a data broker before…
We examine the dynamics of informational efficiency in a market with asymmetrically informed, boundedly rational traders who adaptively learn optimal strategies using simple multiarmed bandit (MAB) algorithms. The strategies available to…
We consider a variant of the hide-and-seek game in which a seeker inspects multiple hiding locations to find multiple items hidden by a hider. Each hiding location has a maximum hiding capacity and a probability of detecting its hidden…
Distributed Nash equilibrium seeking for games in uncertain networked systems without a prior knowledge about control directions is explored in this paper. More specifically, the dynamics of the players are supposed to be first-order or…
Motivated by recent empirical findings on the periodic phenomenon of aggregated market volumes in equity markets, we aim to understand the causes and consequences of periodic trading activities through a game-theoretic perspective,…
The efficient market hypothesis (EMH) famously stated that prices fully reflect the information available to traders. This critically depends on the transfer of information into prices through trading strategies. Traders optimise their…
We study the distribution of strategies in a large game that models how agents choose among different double auction markets. We classify the possible mean field Nash equilibria, which include potentially segregated states where an agent…
This paper introduces an equilibrium framework based on sequential sampling in which players face strategic uncertainty over their opponents' behavior and acquire informative signals to resolve it. Sequential sampling equilibrium delivers a…
In this paper, we study the problem of the distributed Nash equilibrium seeking of N-player games over jointly strongly connected switching networks. The action of each player is governed by a class of uncertain nonlinear systems. Our…
Classic results show that even an arbitrarily small correlation across bidders' information can enable full surplus extraction in auctions and related mechanism design settings. Motivated by this fragility, we study the information…
The standard game-theoretic solution concept, Nash equilibrium, assumes that all players behave rationally. If we follow a Nash equilibrium and opponents are irrational (or follow strategies from a different Nash equilibrium), then we may…
We study a class of two-player repeated games with incomplete information and informational externalities. In these games, two states are chosen at the outset, and players get private information on the pair, before engaging in repeated…
This work considers coordination and bargaining between two selfish users over a Gaussian interference channel using game theory. The usual information theoretic approach assumes full cooperation among users for codebook and rate selection.…
The Nash Equilibrium is a much discussed, deceptively complex, method for the analysis of non-cooperative games. If one reads many of the commonly available definitions the description of the Nash Equilibrium is deceptively simple in…
We study surplus division in network constrained bilateral matching markets with transferable utility. We introduce a new solution concept, the credible bargaining solution, which refines stability by requiring that, for each matched pair…
Game theory is a very profound study on distributed decision-making behavior and has been extensively developed by many scholars. However, many existing works rely on certain strict assumptions such as knowing the opponent's private…
We study markets of indivisible items in which price-based (Walrasian) equilibria often do not exist due to the discrete non-convex setting. Instead we consider Nash equilibria of the market viewed as a game, where players bid for items,…
We consider a periodic double auction (PDA) wherein the main participants are wholesale suppliers and brokers representing retailers. The suppliers are represented by a composite supply curve and the brokers are represented by individual…
We study the price competition in a duopoly with an arbitrary number of buyers. Each seller can offer multiple units of a commodity depending on the availability of the commodity which is random and may be different for different sellers.…