Related papers: Optimal Execution among $N$ Traders with Transient…
When prices reflect all available information, they oscillate around an equilibrium level. This oscillation is the result of the temporary market impact caused by waves of buyers and sellers. This price behavior can be approximated through…
This paper studies the valuation and optimal strategy of convertible bonds as a Dynkin game by using the reflected backward stochastic differential equation method and the variational inequality method. We first reduce such a Dynkin game to…
This paper proposes a new equilibrium concept "robust perfect equilibrium" for non-cooperative games with a continuum of players, incorporating three types of perturbations. Such an equilibrium is shown to exist (in symmetric mixed…
Algorithmic trading in modern financial markets is widely acknowledged to exhibit strategic, game-theoretic behaviors whose complexity can be difficult to model. A recent series of papers (Chriss, 2024b,c,a, 2025) has made progress in the…
We formulate and solve an optimal trading problem with alpha signals, where transactions induce a nonlinear transient price impact described by a general propagator model, including power-law decay. Using a variational approach, we…
This paper investigates equilibrium computation and the price of anarchy for Bayesian games, which are the fundamental models of games with incomplete information. In normal-form games with complete information, it is known that efficiently…
This study investigates an adaptive pricing scheme aimed at achieving an efficient state in a traffic congestion game characterized by a diverse population of road users. While the planner possesses knowledge of players' preferences, their…
The design of distributed algorithms is central to the study of multiagent systems control. In this paper, we consider a class of combinatorial cost-minimization problems and propose a framework for designing distributed algorithms with a…
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 propose a general approximation method for determining optimal trading strategies in markets with proportional transaction costs, with a polynomial approximation of the residual value function. The method is exemplified by several…
We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary number of risky assets subject to quadratic transaction costs. For linear state dynamics, the forward-backward stochastic differential…
This paper investigates optimal execution strategies in intraday energy markets through a mutually exciting Hawkes process model. Calibrated to data from the German intraday electricity market, the model effectively captures key empirical…
In this paper, we formulate an evolutionarymultiple access control game with continuousvariable actions and coupled constraints. We characterize equilibria of the game and show that the pure equilibria are Pareto optimal and also resilient…
We study the inefficiency of equilibria for various classes of games when players are (partially) altruistic. We model altruistic behavior by assuming that player i's perceived cost is a convex combination of 1-\alpha_i times his direct…
Game-theoretic approaches and Nash equilibrium have been widely applied across various engineering domains. However, practical challenges such as disturbances, delays, and actuator limitations can hinder the precise execution of Nash…
It is well-known that for infinitely repeated games, there are computable strategies that have best responses, but no computable best responses. These results were originally proved for either specific games (e.g., Prisoner's dilemma), or…
The goal of this work is to study binary market models with transaction costs, and to characterize their arbitrage opportunities. It has been already shown that the absence of arbitrage is related to the existence of \lambda-consistent…
This paper examines the impact of agents' myopic optimization on the efficiency of systems comprised by many selfish agents. In contrast to standard congestion games where agents interact in a one-shot fashion, in our model each agent…
This paper focuses on an extension of the Limit Order Book (LOB) model with general shape introduced by Alfonsi, Fruth and Schied. Here, the additional feature allows a time-varying LOB depth. We solve the optimal execution problem in this…
This study explores the design of an efficient rebate policy in auction markets, focusing on a continuous-time setting with competition among market participants. In this model, a stock exchange collects transaction fees from auction…