Related papers: Broker-Trader Partial Information Nash-Equilibria
We study the continuous time Kyle-Back model with a risk averse informed trader.We show that in a market with multiple assets and non-Gaussian prices an equilibrium exists. The equilibrium is constructed by considering a Fokker-Planck…
We consider for the first time a stochastic generalized Nash equilibrium problem, i.e., with expected-value cost functions and joint feasibility constraints, under partial-decision information, meaning that the agents communicate only with…
We consider an example of stochastic games with partial, asymmetric and non-classical information. We obtain relevant equilibrium policies using a new approach which allows managing the belief updates in a structured manner. Agents have…
We characterise the solutions to a continuous-time optimal liquidity provision problem in a market populated by informed and uninformed traders. In our model, the asset price exhibits fads -- these are short-term deviations from the…
We study Nash equilibria for inventory-averse high-frequency traders (HFTs), who trade to exploit information about future price changes. For discrete trading rounds, the HFTs' optimal trading strategies and their equilibrium price impact…
In this paper, we consider the problem of finding a Nash equilibrium in a multi-player game over generally connected networks. This model differs from a conventional setting in that players have partial information on the actions of their…
We model the trading activity between a broker and her clients (informed and uninformed traders) as an infinite-horizon stochastic control problem. We derive the broker's optimal dealing strategy in closed form and use this to introduce an…
In this paper, we study the Nash dynamics of strategic interplays of n buyers in a matching market setup by a seller, the market maker. Taking the standard market equilibrium approach, upon receiving submitted bid vectors from the buyers,…
Financial transmission right (FTR) is an important tool and an especially feature for stopping congestion charges in restructured electricity markets. Participants in the transmission market as players are assumed to be a generation company…
We present a novel approach to describing the microstructure of high frequency trading using two key elements. First we introduce a new notion of informed trader which we starkly contrast to current informed trader models. We describe the…
We study a multi-agent setting in which brokers transact with an informed trader. Through a sequential Stackelberg-type game, brokers manage trading costs and adverse selection with an informed trader. In particular, supplying liquidity to…
We consider a market of risky financial assets whose participants are an informed trader, a representative uninformed trader, and noisy liquidity providers. We prove the existence of a market-clearing equilibrium when the insider…
This paper is concerned with non-zero sum differential games of mean-field stochastic differential equations with partial information and convex control domain. First, applying the classical convex variations, we obtain stochastic maximum…
In multi-agent autonomous systems, deception is a fundamental concept which characterizes the exploitation of unbalanced information to mislead victims into choosing oblivious actions. This effectively alters the system's long term…
We consider a trader who aims to liquidate a large position in the presence of an arbitrageur who hopes to profit from the trader's activity. The arbitrageur is uncertain about the trader's position and learns from observed price…
A model of stochastic games where multiple controllers jointly control the evolution of the state of a dynamic system but have access to different information about the state and action processes is considered. The asymmetry of information…
Current research in distributed Nash equilibrium (NE) seeking in the partial information setting assumes that information is exchanged between agents that are "truthful". However, in general noncooperative games agents may consider sending…
A group of players which contain n sellers and n buyers bargain over the partitions of n pies. A seller(/buyer) has to reach an agreement with a buyer (/seller) on the division of a pie. The players bargain in a system like the stock…
We propose a stochastic game modelling the strategic interaction between market makers and traders of optimal execution type. For traders, the permanent price impact commonly attributed to them is replaced by quoting strategies implemented…
In this paper, we study which data can be induced by a correlated equilibrium given a known finite simultaneous move game. We assume that an analyst has access to the frequency of each agent's actions but does not have access to the…