Related papers: Competitive equilibria in trading
Equilibrium in Economics has been seldom addressed in a situation where some variables are discrete. This work introduces a problem related to lot-sizing with several players, and analyses some strategies which are likely to be found in…
We address the problem of improving bidders' strategies in prior-dependent revenue-maximizing auctions and introduce a simple and generic method to design novel bidding strategies if the seller uses past bids to optimize her mechanism. We…
Fairness in clustering has been considered extensively in the past; however, the trade-off between the two objectives -- e.g., can we sacrifice just a little in the quality of the clustering to significantly increase fairness, or…
Correlated equilibria -- and their generalization $\Phi$-equilibria -- are a fundamental object of study in game theory, offering a more tractable alternative to Nash equilibria in multi-player settings. While computational aspects of…
Prediction is a well-studied machine learning task, and prediction algorithms are core ingredients in online products and services. Despite their centrality in the competition between online companies who offer prediction-based products,…
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,…
In two-player zero-sum stochastic games, where two competing players make decisions under uncertainty, a pair of optimal strategies is traditionally described by Nash equilibrium and computed under the assumption that the players have…
In this paper we deal with linear production situations in which there is a limited common-pool resource, managed by an external agent. The profit that a producer, or a group of producers, can attain depends on the amount of common-pool…
We consider competitive facility location as a two-stage multi-agent system with two types of clients. For a given host graph with weighted clients on the vertices, first facility agents strategically select vertices for opening their…
We analyze cooperative Cournot games with boundedly rational firms. Due to cogni- tive constraints, the members of a coalition cannot accurately predict the coalitional structure of the non-members. Thus, they compute their value using…
We analyze an optimal trade execution problem in a financial market with stochastic liquidity. To this end we set up a limit order book model in which both order book depth and resilience evolve randomly in time. Trading is allowed in both…
We propose a stochastic first-order algorithm to learn the rationality parameters of simultaneous and non-cooperative potential games, i.e., the parameters of the agents' optimization problems. Our technique combines (i.) an active-set step…
The possibility of latency arbitrage in financial markets has led to the deployment of high-speed communication links between distant financial centers. These links are noisy and so there is a need for coding. In this paper, we develop a…
We introduce a decentralized mechanism for pricing and exchanging alternatives constrained by transaction costs. We characterize the time-invariant solutions of a heat equation involving a (weighted) Tarski Laplacian operator, defined for…
In this work we study the optimal execution problem with multiplicative price impact in algorithm trading, when an agent holds an initial position of shares of a financial asset. The inter-selling-decision times are modelled by the arrival…
Matching algorithms have demonstrated great success in several practical applications, but they often require centralized coordination and plentiful information. In many modern online marketplaces, agents must independently seek out and…
Much work has been done on the computation of market equilibria. However due to strategic play by buyers, it is not clear whether these are actually observed in the market. Motivated by the observation that a buyer may derive a better…
We consider thin incomplete financial markets, where traders with heterogeneous preferences and risk exposures have motive to behave strategically regarding the demand schedules they submit, thereby impacting prices and allocations. We…
The efficient market hypothesis (EMH) famously stated that prices fully reflect the information available to traders. This critically depends on the transfer of information into prices through trading strategies. Traders optimise their…
As an alternative view to the graph formation models in the statistical physics community, we introduce graph formation models using \textit{network formation} through selfish competition as an approach to modeling graphs with particular…