Related papers: Broker-Trader Partial Information Nash-Equilibria
We consider a market impact game for $n$ risk-averse agents that are competing in a market model with linear transient price impact and additional transaction costs. For both finite and infinite time horizons, the agents aim to minimize a…
We formulate and solve a multi-player stochastic differential game between financial agents who seek to cost-efficiently liquidate their position in a risky asset in the presence of jointly aggregated transient price impact, along with…
We study one-shot Nash competition between an arbitrary number of identical dealers that compete for the order flow of a client. The client trades either because of proprietary information, exposure to idiosyncratic risk, or a mix of both…
We study bilateral trade with interdependent values as an informed-principal problem. The mechanism-selection game has multiple equilibria that differ with respect to principal's payoff and trading surplus. We characterize the equilibrium…
We consider a pair of traders in a market where the information available to the second trader is a strict subset of the information available to the first trader. The traders make prices based on the information available concerning a…
We study a multi-player stochastic differential game, where agents interact through their joint price impact on an asset that they trade to exploit a common trading signal. In this context, we prove that a closed-loop Nash equilibrium…
We consider a one-sided assignment market or exchange network with transferable utility and propose a model for the dynamics of bargaining in such a market. Our dynamical model is local, involving iterative updates of 'offers' based on…
Nash equilibrium is a central solution concept for reasoning about self-interested agents. We address the problem of synthesizing Nash equilibria in two-player deterministic games on graphs, where players have private, partially-ordered…
In this paper, we investigate the seeking of Nash equilibrium (NE) in a non-cooperative quadratic game where all agents exchange their delayed strategy information with their neighbors. To extend best-response algorithms to the delayed…
The existence of a (partial) market equilibrium price is proved in a complete, continuous time finite-agent market setting. The economic agents act as price takers in a fully competitive setting and maximize exponential utility from…
We address the generalized Nash equilibrium seeking problem in a partial-decision information scenario, where each agent can only exchange information with some neighbors, although its cost function possibly depends on the strategies of all…
We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model,…
Bargaining networks model the behavior of a set of players that need to reach pairwise agreements for making profits. Nash bargaining solutions are special outcomes of such games that are both stable and balanced. Kleinberg and Tardos…
We investigate the effects of the social interactions of a finite set of agents on an equilibrium pricing mechanism. A derivative written on non-tradable underlyings is introduced to the market and priced in an equilibrium framework by…
In revenue maximization of selling a digital product in a social network, the utility of an agent is often considered to have two parts: a private valuation, and linearly additive influences from other agents. We study the incomplete…
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…
A large body of empirical literature has shown that market impact of financial prices is transient. However, from a theoretical standpoint, the origin of this temporary nature is still unclear. We show that an implied transient impact…
This paper considers a distributed gossip approach for finding a Nash equilibrium in networked games on graphs. In such games a player's cost function may be affected by the actions of any subset of players. An interference graph is…
Social-media platforms are one of the most prevalent communication media today. In such systems, a large amount of content is generated and available to the platform. However, not all content can be transmitted to every possible user at all…
We consider a Nash equilibrium between two high-frequency traders in a simple market impact model with transient price impact and additional quadratic transaction costs. Extending a result by Sch\"oneborn (2008), we prove existence and…