Related papers: Optimal position-building strategies in competitio…
We study a dynamic market setting where an intermediary interacts with an unknown large sequence of agents that can be either sellers or buyers: their identities, as well as the sequence length $n$, are decided in an adversarial, online…
This paper studies a special kind of equilibrium termed as "balanced equilibrium" which arises in the power allocation game defined in \cite{allocation}. In equilibrium, each country in antagonism has to use all of its own power to…
A new definition of events of game-theoretic probability zero in continuous time is proposed and used to prove results suggesting that trading in financial markets results in the emergence of properties usually associated with randomness.…
We propose a game theoretic framework for task allocation in mobile cloud computing that corresponds to offloading of compute tasks to a group of nearby mobile devices. Specifically, in our framework, a distributor node holds a…
We introduce a new numerical framework to learn optimal bidding strategies in repeated auctions when the seller uses past bids to optimize her mechanism. Crucially, we do not assume that the bidders know what optimization mechanism is used…
Market making is a fundamental trading problem in which an agent provides liquidity by continually offering to buy and sell a security. The problem is challenging due to inventory risk, the risk of accumulating an unfavourable position and…
This paper is concerned with the determination of pricing strategies for a firm that in each period of a finite horizon receives replenishment quantities of a single product which it sells in two markets, e.g., a long-distance market and an…
We consider games played on finite graphs, whose goal is to obtain a trace belonging to a given set of winning traces. We focus on those states from which Player 1 cannot force a win. We explore and compare several criteria for establishing…
Matrix games constitute a fundamental problem of game theory and describe a situation of two players with completely conflicting interests. We show how methods from statistical mechanics can be used to investigate the statistical properties…
An existing challenge in power systems is the implementation of optimal demand management through dynamic pricing. This paper encompasses the design, analysis and implementation of a novel on-line pricing scheme based on coalitional game…
We analyze the problem of how to optimally bid for ad spaces in online ad auctions. For this we consider the general case of multiple ad campaigns with overlapping targeting criteria. In our analysis we first characterize the structure of…
We consider some classical optimization problems in path planning and network transport, and we introduce new auction-based algorithms for their optimal and suboptimal solution. The algorithms are based on mathematical ideas that are…
This paper proposes a new equilibrium concept "robust perfect equilibrium" for non-cooperative games with a continuum of players, incorporating three types of perturbations. Such an equilibrium is shown to exist (in symmetric mixed…
We propose a stochastic game modelling the strategic interaction between market makers and traders of optimal execution type. For traders, the permanent price impact commonly attributed to them is replaced by quoting strategies implemented…
In this paper we study the so-called minimum income condition order, which is used in some day-ahead electricity power exchanges to represent the production-related costs of generating units. This order belongs to the family of complex…
Sellers in online markets face the challenge of determining the right time to sell in view of uncertain future offers. Classical stopping theory assumes that sellers have full knowledge of the value distributions, and leverage this…
In this work, we are interested on the analysis of competing marketing campaigns between an incumbent who dominates the market and a challenger who wants to enter the market. We are interested in (a) the simultaneous decision of how many…
An optimization of caching strategies is proposed as a formal approach allowing us a more efficient use of two-level computer memory. This approach is based on a set of mathematical models and a set of theorems, permitting analytical…
We propose a multi-agent model of an asset market and study conditions that guarantee that the strategy of an individual agent cannot outperform the market. The model assumes a mean-field approximation of the market by considering an…
Adversarial training aims to defend against adversaries: malicious opponents whose sole aim is to harm predictive performance in any way possible. This presents a rather harsh perspective, which we assert results in unnecessarily…