Related papers: Competitive equilibria in trading
We revisit optimal execution of an active portfolio in the presence of slippage (aka linear, proportional, or absolute-value) costs. Market efficiency implies a close balance between active alphas and trading costs, so even small changes to…
Trading algorithms that execute large orders are susceptible to exploitation by order anticipation strategies. This paper studies the influence of order anticipation strategies in a multi-investor model of optimal execution under transient…
This paper investigates applicability of thermodynamic concepts and principles to competitive systems. We show that Tsallis entropies are suitable for characterisation of systems with transitive competition when mutations deviate from Gibbs…
Platform giants in China have operated with persistently compressed margins in highly concentrated markets for much of the past decade, despite market shares exceeding 60\% in core segments. Standard theory predicts otherwise: either the…
This article explores the optimisation of trading strategies in Constant Function Market Makers (CFMMs) and centralised exchanges. We develop a model that accounts for the interaction between these two markets, estimating the conditional…
A recent body of experimental literature has studied empirical game-theoretical analysis, in which we have partial knowledge of a game, consisting of observations of a subset of the pure-strategy profiles and their associated payoffs to…
We study a two-player model of conflict with multiple battlefields -- the novel element is that each of the players has their own network of spillovers so that resources allocated to one battle can be utilized in winning neighboring…
This paper is the continuation of "Pricing with coherent risk" and deals with further applications of coherent risk measures to problems of finance. First, we study the optimization problem. Three forms of this problem are considered.…
This article is a prologue to the article "Why Markets are Inefficient: A Gambling 'Theory' of Financial Markets for Practitioners and Theorists." It presents important background for that article --- why gambling is important, even…
Linear Fisher market is one of the most fundamental economic models. The market is traditionally examined on the basis of individual's price-taking behavior. However, this assumption breaks in markets such as online advertising and…
Several structural results for the set of competitive equilibria in trading networks with frictions are established: The lattice theorem, the rural hospitals theorem, the existence of side-optimal equilibria, and a…
I study symmetric competitions in which each player chooses an arbitrary distribution over a one-dimensional performance index, subject to a convex cost. I establish existence of a symmetric equilibrium, document various properties it must…
In this note, we prove the existence of an equilibrium concept, dubbed conditional strategy equilibrium, for non-cooperative games in which a strategy of a player is a function from the other players' actions to her own actions. We study…
Exchange of services and resources in, or over, networks is attracting nowadays renewed interest. However, despite the broad applicability and the extensive study of such models, e.g., in the context of P2P networks, many fundamental…
We consider a simple simultaneous first price auction for multiple items in a complete information setting. Our goal is to completely characterize the mixed equilibria in this setting, for a simple, yet highly interesting, {\tt AND}-{\tt…
An extensive literature in economics and social science addresses contests, in which players compete to outperform each other on some measurable criterion, often referred to as a player's score, or output. Players incur costs that are an…
We study scenarios where multiple sellers of a homogeneous good compete on prices, where each seller can only sell to some subset of the buyers. Crucially, sellers cannot price-discriminate between buyers. We model the structure of the…
Involution now refers to the phenomenon that competitors in the same field make more efforts to struggle for limited resources but get lower individual ''profit effort ratio''. In this work, we investigate the evolution of the involution…
We study the propensity of independent algorithms to collude in repeated Cournot duopoly games. Specifically, we investigate the predictive power of different oligopoly and bargaining solutions regarding the effect of asymmetry between…
In the present work, we study the advertising competition of several marketing campaigns who need to determine how many resources to allocate to potential customers to advertise their products through direct marketing while taking into…