Related papers: Broker-Trader Partial Information Nash-Equilibria
In this work, we study the system of interacting non-cooperative two Q-learning agents, where one agent has the privilege of observing the other's actions. We show that this information asymmetry can lead to a stable outcome of population…
This paper proposes a differentially private energy trading mechanism for prosumers in peer-to-peer (P2P) markets, offering provable privacy guarantees while approaching the Nash equilibrium with nearly socially optimal efficiency. We first…
We introduce the notion of exchangeable equilibria of a symmetric bimatrix game, defined as those correlated equilibria in which players' strategy choices are conditionally independently and identically distributed given some hidden…
Nash equilibria are defined using uncorrelated behavioural or mixed joint probability distributions effectively assuming that players of bounded rationality must discard information to locate equilibria. We propose instead that rational…
In competitive games with private objectives, actions can reveal information about hidden parameters. Quantifying such information revelation, however, is substantially more challenging, since it depends not only on the opponent's hidden…
This paper introduces risk-revising players to a class of games with incomplete information. These players enter the game with ex ante risk preferences represented by coherent risk measures and develop time-consistent interim revisions of…
This paper develops a strategic model of trade between two regions in which, depending on the relation among output, financial resources and transportation costs, the adjustment of prices towards an equilibrium is studied. We derive…
We present results on simulations of a stock market with heterogeneous, cumulative information setup. We find a non-monotonic behaviour of traders' returns as a function of their information level. Particularly, the average informed agents…
Systems of competing agents can often be modeled as games. Assuming rationality, the most likely outcomes are given by an equilibrium (e.g. a Nash equilibrium). In many practical settings, games are influenced by context, i.e. additional…
This work investigates the existence and uniqueness of the Nash equilibrium (solutions to competitive problems in which individual controls aim at separate desired states) for a bi-objective optimal control problem governed by a fractional…
An informed seller designs a dynamic mechanism to sell an experience good. The seller has partial information about the product match, which affects the buyer's private consumption experience. We characterize equilibrium mechanisms of this…
We study how transaction cost affects to the equilibrium return and optimal stock holdings in equilibrium. To this end, we develop a continuous-time risk-sharing model where heterogenous agents trade toward terminal target holdings subject…
This paper investigates the efficiency loss in social cost caused by strategic bidding behavior of individual participants in a supply-demand balancing market, and proposes a mechanism to fully recover equilibrium social optimum via…
We study bilateral trade with a broker, where a buyer and seller interact exclusively through the broker. The broker strategically maximizes her payoff through arbitrage by trading with the buyer and seller at different prices. We study…
We propose a static equilibrium model for limit order book where profit-maximizing investors receive an information signal regarding the liquidation value of the asset and execute via a competitive dealer with random initial inventory, who…
We consider multi-agent decision making, where each agent optimizes its cost function subject to constraints. Agents' actions belong to a compact convex Euclidean space and the agents' cost functions are coupled. We propose a distributed…
We study markets of indivisible items in which price-based (Walrasian) equilibria often do not exist due to the discrete non-convex setting. Instead we consider Nash equilibria of the market viewed as a game, where players bid for items,…
We explore stability and fairness considerations in decentralized networked markets with bilateral contracts, building on the trading networks framework [Hatfield et al., 2013]. In our trading network game, we show that a well-defined…
We consider a class of two-player dynamic stochastic nonzero-sum games where the state transition and observation equations are linear, and the primitive random variables are Gaussian. Each controller acquires possibly different dynamic…
We develop a stochastic equilibrium model for an electricity market with asymmetric renewable energy forecasts. In our setting, market participants optimize their profits using public information about a conditional expectation of energy…