Related papers: Competitive equilibria in trading
We consider a basic model of multi-period trading, which can be used to evaluate the performance of a trading strategy. We describe a framework for single-period optimization, where the trades in each period are found by solving a convex…
This work builds on the theoretical frameworks presented in "Liquidity pools as mean field games: A new framework" and "Liquidity pools as mean field games with transaction costs" by the same author, where the strategic interactions among…
Competitive balance in a football league is extremely important from the perspective of economic growth of the industry. Many researchers have earlier proposed different measures of competitive balance, which are primarily adapted from the…
Assume that a treasure is placed in one of $M$ boxes according to a known distribution and that $k$ searchers are searching for it in parallel during $T$ rounds. We study the question of how to incentivize selfish players so that the…
To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is influenced by the characteristics of the order flow and…
Fair division is typically framed from a centralized perspective. However, in practice resource allocation often occurs via decentralized networks. We study a decentralized variant of fair division inspired by altruistic dynamics observed…
A novel algorithm for actively trading stocks is presented. While traditional expert advice and "universal" algorithms (as well as standard technical trading heuristics) attempt to predict winners or trends, our approach relies on…
The aim of the strategic analysis is to (simply) carry out the game between the implementing body and possible links to the existing market situation. We are therefore playing a strategic game between us and the outside world. This…
This paper extends the theoretical framework introduced in Liquidity Pools as Mean Field Games: A New Framework, where the interactions among traders in a constant product market-making protocol were modeled using mean field games (MFG). In…
We develop a method using parameterized linear equations to define trading mechanisms in market design models. Our method adeptly addresses challenges arising from factors such as complex endowments or coarse priorities, while offering…
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…
This paper studies an optimal trading problem that incorporates the trader's market view on the terminal asset price distribution and uninformative noise embedded in the asset price dynamics. We model the underlying asset price evolution by…
We consider a monopolistic seller in a market that may be segmented. The surplus of each consumer in a segment depends on the price that the seller optimally charges, which depends on the set of consumers in the segment. We study which…
The Stackelberg equilibrium solution concept describes optimal strategies to commit to: Player 1 (termed the leader) publicly commits to a strategy and Player 2 (termed the follower) plays a best response to this strategy (ties are broken…
In many competitive settings, from education to politics, rules do not reward effort evenly, and thresholds (e.g., grade cutoffs or electoral majorities) make some moments disproportionately important. Success thus depends on efficiently…
In competitive environments, commonly agents try to prevent opponents from achieving their goals. Most previous preventing approaches assume the opponent's goal is known a priori. Others only start executing actions once the opponent's goal…
We find an approximate Nash equilibrium in a game between decentralized exchanges (DEXs) that compete for order flow by setting dynamic trading fees. We characterize the equilibrium via a coupled system of partial differential equations and…
People, robots, and companies mostly divide time and effort among projects, and \defined{shared effort games} model people investing resources in public endeavors and sharing the generated values. In linear $\theta$ sharing (effort) games,…
Retail competition today can be described by three main features: i) oligopolistic competition, ii) multi-store settings, and iii) the presence of large economies of scale. In these markets, firms usually apply a centralized decisions…
There has been substantial recent concern that pricing algorithms might learn to ``collude.'' Supra-competitive prices can emerge as a Nash equilibrium of repeated pricing games, in which sellers play strategies which threaten to punish…