Related papers: Optimal position-building strategies in competitio…

In adversarial interactions, one is often required to make strategic decisions over multiple periods of time, wherein decisions made earlier impact a player's competitive standing as well as how choices are made in later stages. In this…

We introduce the study of search games between a mobile Searcher and an immobile Hider in a new setting in which the Searcher has some potentially erroneous information, i.e., a prediction on the Hider's position. The objective is to…

Planning safe robot motions in the presence of humans requires reliable forecasts of future human motion. However, simply predicting the most likely motion from prior interactions does not guarantee safety. Such forecasts fail to model the…

Optimal execution, i.e., the determination of the most cost-effective way to trade volumes in continuous trading sessions, has been a topic of interest in the equity trading world for years. Electricity intraday trading slowly follows this…

Our objective in this paper is to develop a machinery that makes a given organizational strategic plan resilient to the actions of competitor agents (adverse environmental actions). We assume that we are given a goal tree representing…

This paper studies a spatial competition game between two firms that sell a homogeneous good at some pre-determined fixed price. A population of consumers is spread out over the real line, and the two firms simultaneously choose location in…

A multi-player competitive Dynkin stopping game is constructed. Each player can either exit the game for a fixed payoff, determined a priori, or stay and receive an adjusted payoff depending on the decision of other players. The single…

Game theory provides a mathematical framework for analysing strategic situations involving at least two players. Normal-form games model situations where the players simultaneously pick their moves. In this thesis we explore the strategic…

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…

We investigate the dynamics of a trust game on a mixed population where individuals with the role of buyers are forced to play against a predetermined number of sellers, whom they choose dynamically. Agents with the role of sellers are also…

In an all-pay auction, only one bidder wins but all bidders must pay the auctioneer. All-pay bidding games arise from attaching a similar bidding structure to traditional combinatorial games to determine which player moves next. In contrast…

We study the interaction between a network designer and an adversary over a dynamical network. The network consists of nodes performing continuous-time distributed averaging. The adversary strategically disconnects a set of links to prevent…

Building on the macroscopic market making framework as a control problem, this paper investigates its extension to stochastic games. In the context of price competition, each agent is benchmarked against the best quote offered by the…

We propose a game-theoretic framework that incorporates both incomplete information and general ambiguity attitudes on factors external to all players. Our starting point is players' preferences on payoff-distribution vectors, essentially…

Whether you trade futures for yourself or a hedge fund, your strategy is counted. Long and short position limits make the number of unique strategies finite. Formulas of the numbers of strategies, transactions, do nothing actions are…

Inspired by a military context, we study a Stackelberg production game where a country's government, the leader, wants to maximize the production of military assets. The leader does so by allocating his resources among a set of production…

Game theory has been developed by scientists as a theory of strategic interaction among players who are supposed to be perfectly rational. These strategic interactions might have been presented in an auction, a business negotiation, a chess…

This paper is concerned with an optimal strategy for simultaneously trading a pair of stocks. The idea of pairs trading is to monitor their price movements and compare their relative strength over time. A pairs trade is triggered by the…

We propose a mathematical model for one pattern of charts studied in technical analysis: in a phase of consolidation, the price of a risky asset goes down $\xi$ times after hitting a resistance level. We construct a mathematical strategy…

We study a multi-agent setting in which brokers transact with an informed trader. Through a sequential Stackelberg-type game, brokers manage trading costs and adverse selection with an informed trader. In particular, supplying liquidity to…