Related papers: Market efficiency, informational asymmetry and pse…
We study the informational efficiency of a market with a single traded asset. The price initially differs from the fundamental value, about which the agents have noisy private information (which is, on average, correct). A fraction of…
We present an experimental and simulated model of a multi-agent stock market driven by a double auction order matching mechanism. Studying the effect of cumulative information on the performance of traders, we find a non monotonic…
We consider the dynamics and the interactions of multiple reinforcement learning optimal execution trading agents interacting with a reactive Agent-Based Model (ABM) of a financial market in event time. The model represents a market ecology…
We study a simple model of an asset market with informed and non-informed agents. In the absence of non-informed agents, the market becomes information efficient when the number of traders with different private information is large enough.…
In speculative markets, risk-free profit opportunities are eliminated by traders exploiting them. Markets are therefore often described as "informationally efficient", rapidly removing predictable price changes, and leaving only residual…
LLM agents in markets present algorithmic collusion risks. While prior work shows LLM agents reach supracompetitive prices through tacit coordination, existing research focuses on hand-crafted prompts. The emerging paradigm of prompt…
This paper examines whether widely used online learning algorithms in pricing can independently reach competitive outcomes or instead foster tacit collusion. This issue has drawn considerable attention from competition regulators as…
This paper examines how data inputs shape competition among artificial intelligences (AIs) in pricing games. The dataset assigns labels to consumers and divides them into different markets, thereby inducing multimarket contact among AIs. We…
Algorithmic price collusion facilitated by artificial intelligence (AI) algorithms raises significant concerns. We examine how AI agents using Q-learning engage in tacit collusion in two-sided markets. Our experiments reveal that AI-driven…
Interaction strategies for reward in competitive environments are significantly influenced by the nature and extent of available information. In financial markets, particularly foreign exchange (forex), traders operate independently with…
Pricing algorithms have demonstrated the capability to learn tacit collusion that is largely unaddressed by current regulations. Their increasing use in markets, including oligopolistic industries with a history of collusion, calls for…
Algorithmic collusion has emerged as a central question in AI: Will the interaction between different AI agents deployed in markets lead to collusion? More generally, understanding how emergent behavior, be it a cartel or market dominance…
Algorithmic agents are used in a variety of competitive decision-making settings, including pricing contexts that range from online retail to residential home rental. We study the emergence of algorithmic collusion when competing agents…
We study strategic interactions in a broker-mediated market in which agents learn and exploit each other's private information. A broker provides liquidity to an informed trader and to noise traders while managing inventory in a lit market.…
We study collaborative learning in multi-agent Bayesian bandit problems, where strategic agents collectively solve the same bandit instance. While multiple agents can accelerate learning by sharing information, strategic agents might prefer…
We develop a tractable model for studying strategic interactions between learning algorithms. We uncover a mechanism responsible for the emergence of algorithmic collusion. We observe that algorithms periodically coordinate on actions that…
We consider the learning dynamics of a single reinforcement learning optimal execution trading agent when it interacts with an event driven agent-based financial market model. Trading takes place asynchronously through a matching engine in…
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…
An asymmetric information model is introduced for the situation in which there is a small agent who is more susceptible to the flow of information in the market than the general market participant, and who tries to implement strategies…
Collusion in market pricing is a concept associated with human actions to raise market prices through artificially limited supply. Recently, the idea of algorithmic collusion was put forward, where the human action in the pricing process is…