Related papers: Information Structures in Stablecoin Markets
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…
We study the emergence of instabilities in a stylized model of a financial market, when different market actors calculate prices according to different (local) market measures. We derive typical properties for ensembles of large random…
Systemic risk in banking systems remains a crucial issue that it has not been completely understood. In our toy model, banks are exposed to two sources of risks, namely, market risk from their investments in assets external to the banking…
We develop a theoretical trading conditioning model subject to price volatility and return information in terms of market psychological behavior, based on analytical transaction volume-price probability wave distributions in which we use…
In competitive games with private objectives, actions can reveal information about hidden parameters. Quantifying such information revelation, however, is substantially more challenging, since it depends not only on the opponent's hidden…
Blockchain technology has revolutionized financial markets by enabling decentralized exchanges (DEXs) that operate without intermediaries. Uniswap V2, a leading DEX, facilitates the rapid creation and trading of new tokens, which offer high…
We review the evidence that the erratic dynamics of markets is to a large extent of endogenous origin, i.e. determined by the trading activity itself and not due to the rational processing of exogenous news. In order to understand why and…
This paper develops a formal game-theoretic model to examine how protocol mutability disrupts cooperative mining behaviour in blockchain systems. Using a repeated game framework with stochastic rule shocks, we show that even minor…
The timing of strategic exit is one of the most important but difficult business decisions, especially under competition and uncertainty. Motivated by this problem, we examine a stochastic game of exit in which players are uncertain about…
When introducing a novel product, a seller sets a price and decides how much information to provide to a buyer, who may incur a search cost to discover an outside option. The buyer knows the outside option distribution; the seller knows…
This paper studies learning in markets with aggregate uncertainty about whether trade is efficient. A long-lived seller offers prices to buyers, who are short-lived and arrive according to a Poisson process. A hidden state determines…
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 investigate stable matching in structured networks. Consider case of matching in social networks where candidates are not fully connected. A candidate on one side of the market gets acquaintance with which one on the…
When users lack specific knowledge of various system parameters, their uncertainty may lead them to make undesirable deviations in their decision making. To alleviate this, an informed system operator may elect to signal information to…
As smart contract platforms autonomously manage billions of dollars of capital, quantifying the portfolio risk that investors engender in these systems is increasingly important. Recent work illustrates that Proof of Stake (PoS) is…
This article is concerned with stability analysis and stabilization of randomly switched systems under a class of switching signals. The switching signal is modeled as a jump stochastic (not necessarily Markovian) process independent of the…
There may be structural principles pertaining to the general behavior of systems that lead to similarities in a variety of different contexts. Classic examples include the descriptive power of fractals, the importance of surface area to…
In many interesting physical settings, such as the vulcanization of rubber, the introduction of permanent random constraints between the constituents of a homogeneous fluid can cause a phase transition to a random solid state. In this…
It is usually assumed that stock prices reflect a balance between large numbers of small individual sellers and buyers. However, over the past fifty years mutual funds and other institutional shareholders have assumed an ever increasing…
We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…