Related papers: Broker-Trader Partial Information Nash-Equilibria
We study the perfect information Nash equilibrium between a broker and her clients -- an informed trader and an uniformed trader. In our model, the broker trades in the lit exchange where trades have instantaneous and transient price impact…
This paper investigates the equilibrium interactions between trading targets and private information in a multi-period Kyle (1985) market. There are two investors who each follow dynamic trading strategies: A strategic portfolio rebalancer…
We find closed-form solutions to the stochastic game between a broker and a mean-field of informed traders. In the finite player game, the informed traders observe a common signal and a private signal. The broker, on the other hand,…
This paper considers finitely many investors who perform mean-variance portfolio selection under relative performance criteria. That is, each investor is concerned about not only her terminal wealth, but how it compares to the average…
We analyze a market impact game between $n$ risk averse agents who compete for liquidity in a market impact model with permanent price impact and additional slippage. Most market parameters, including volatility and drift, are allowed to…
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…
Traders in a market typically have widely different, private information on the return of an asset. The equilibrium price of the asset may reflect this information more accurately if the number of traders is large enough compared to the…
Financial markets are often driven by latent factors which traders cannot observe. Here, we address an algorithmic trading problem with collections of heterogeneous agents who aim to perform optimal execution or statistical arbitrage, where…
We establish a Nash equilibrium in a market with $ N $ agents with the performance criteria of relative wealth level when the market return is unobservable. Each investor has a random prior belief on the return rate of the risky asset. The…
This paper develops a new methodology for studying continuous-time Nash equilibrium in a financial market with asymmetrically informed agents. This approach allows us to lift the restriction of risk neutrality imposed on market makers by…
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.…
This paper investigates the optimal hedging strategies of an informed broker interacting with multiple traders in a financial market. We develop a theoretical framework in which the broker, possessing exclusive information about the drift…
Even when confronted with the same data, agents often disagree on a model of the real-world. Here, we address the question of how interacting heterogenous agents, who disagree on what model the real-world follows, optimize their trading…
In this article, we concern a kind of partially observed non-zero sum stochastic differential game based on forward and backward stochastic differential equations (FBSDEs). It is required that each player has his own observation equation,…
We consider the Nash equilibrium problem in a partial-decision information scenario. Specifically, each agent can only receive information from some neighbors via a communication network, while its cost function depends on the strategies of…
We apply the theory of McKean-Vlasov-type SDEs to study several problems related to market efficiency in the context of partial information and partially observable financial markets: (i) convergence of reduced-information market price…
In socio-technical multi-agent systems, deception exploits privileged information to induce false beliefs in "victims," keeping them oblivious and leading to outcomes detrimental to them or advantageous to the deceiver. We consider…
We consider an Ito-financial market at which the risky assets' returns are derived endogenously through a market-clearing condition amongst heterogeneous risk-averse investors with quadratic preferences and random endowments. Investors act…
We address Nash equilibrium problems in a partial-decision information scenario, where each agent can only exchange information with some neighbors, while its cost function possibly depends on the strategies of all agents. We characterize…
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,…