Related papers: Optimal position-building strategies in competitio…

In a competitive game scenario, a set of agents have to learn decisions that maximize their goals and minimize their adversaries' goals at the same time. Besides dealing with the increased dynamics of the scenarios due to the opponents'…

Game Theory concepts have been successfully applied in a wide variety of domains over the past decade. Sports and games are one of the popular areas of game theory application owing to its merits and benefits in solving complex scenarios.…

This position paper formalises an abstract model for complex negotiation dialogue. This model is to be used for the benchmark of optimisation algorithms ranging from Reinforcement Learning to Stochastic Games, through Transfer Learning,…

We study a market mechanism that sets edge prices to incentivize strategic agents to efficiently share limited network capacity. In this market, agents form coalitions, with each coalition sharing a unit capacity of a selected route and…

We present a simple dynamic equilibrium model for an online exchange where both buyers and sellers arrive according to a exogenously defined stochastic process. The structure of this exchange is motivated by the limit order book mechanism…

We study financial systems from a game-theoretic standpoint. A financial system is represented by a network, where nodes correspond to firms, and directed labeled edges correspond to debt contracts between them. The existence of cycles in…

We consider the strategic interaction of traders in a continuous-time financial market with Epstein-Zin-type recursive intertemporal preferences and performance concerns. We derive explicitly an equilibrium for the finite player and the…

Stop-loss rules are often studied in the financial literature, but the stop-loss levels are seldom constructed systematically. In many papers, and indeed in practice as well, the level of the stops is too often set arbitrarily. Guided by…

This paper focuses on botnet economics and design of defensive strategies. It takes the view that by combining scarce information on the attackers business models, with rational economic analysis of these business processes, one can…

In competitive resource allocation formulations multiple agents compete over different contests by committing their limited resources in them. For these settings, contest games offer a game-theoretic foundation to analyze how players can…

The notions of symmetry and anonymity in strategic games have been formalized in different ways in the literature. We propose a combinatorial framework to analyze these notions, using group actions. Then, the same framework is used to…

Although both data availability and the demand for accurate forecasts are increasing, collaboration between stakeholders is often constrained by data ownership and competitive interests. In contrast to recent proposals within cooperative…

We investigate stochastic differential games of optimal trading comprising a finite population. There are market frictions in the present framework, which take the form of stochastic permanent and temporary price impacts. Moreover,…

This research work aims to develop an analytical approach for optimizing team formation and predicting team performance in a competitive environment based on data on the competitors' skills prior to the team formation. There are several…

The paper studies problem of continuous time optimal portfolio selection for a incom- plete market diffusion model. It is shown that, under some mild conditions, near optimal strategies for investors with different performance criteria can…

We consider a two-way trading problem, where investors buy and sell a stock whose price moves within a certain range. Naturally they want to maximize their profit. Investors can perform up to $k$ trades, where each trade must involve the…

A general framework is suggested to describe human decision making in a certain class of experiments performed in a trading laboratory. We are in particular interested in discerning between two different moods, or states of the investors,…

We consider the problem of optimal bidding for virtual trading in two-settlement electricity markets. A virtual trader aims to arbitrage on the differences between day-ahead and real-time market prices; both prices, however, are random and…

In a combinatorial exchange setting, players place sell (resp. buy) bids on combinations of traded goods. Besides the question of finding an optimal selection of winning bids, the question of how to share the obtained profit is of high…

In a fixed time horizon, appropriately executing a large amount of a particular asset -- meaning a considerable portion of the volume traded within this frame -- is challenging. Especially for illiquid or even highly liquid but also highly…