Related papers: A groundwater market model
Motivated by the emergence of local groundwater exchanges, we construct and analyze stochastic models of dynamic groundwater markets. Our primary focus is endogenizing the price formation and groundwater pumping strategies in a closed…
This paper investigates the game theory of resource-allocation situations where the "first come, first serve" heuristic creates inequitable, asymmetric benefits to the players. Specifically, this problem is formulated as a Generalized Nash…
Agents attempt to maximize expected profits earned by selling multiple units of a perishable product where their revenue streams are affected by the prices they quote as well as the distribution of other prices quoted in the market by other…
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,…
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…
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 define and study a lending game to model the interbank money market, in which lending banks strategically allocate their cash to borrowing banks. The interest rate offered by each borrowing bank is within the interest rate corridor set…
We develop a tractable equilibrium model for price formation in intraday electricity markets in the presence of intermittent renewable generation. Using stochastic control theory, we identify the optimal strategies of agents with market…
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…
In this article, a game-theoretic model is constructed that is related to the problem of optimal assignments. Examples are considered. A compromise point is found, the Nash equilibriums and the decision of the Nash arbitration scheme are…
We consider the general problem of a set of agents trading a portfolio of assets in the presence of transient price impact and additional quadratic transaction costs and we study, with analytical and numerical methods, the resulting Nash…
The modelling of modern power markets requires the representation of the following main features: (i) a stochastic dynamic decision process, with uncertainties related to renewable production and fuel costs, among others; and (ii) 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…
Examining the behavior of multi-agent systems is vitally important to many emerging distributed applications - game theory has emerged as a powerful tool set in which to do so. The main approach of game-theoretic techniques is to model…
Uncertainty in the output power of large-scale wind power plants (WPPs) can face the electricity market players with undesirable profit variations. Market players can hedge themselves against these risks by participating in forward…
Motivated by recent empirical findings on the periodic phenomenon of aggregated market volumes in equity markets, we aim to understand the causes and consequences of periodic trading activities through a game-theoretic perspective,…
Of paramount importance in both ecological systems and economic policies are the problems of harvesting of natural resources. A paradigmatic situation where this question is raised is that of fishing strategies. Indeed, overfishing is 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 consider $n$ risk-averse agents who compete for liquidity in an Almgren--Chriss market impact model. Mathematically, this situation can be described by a Nash equilibrium for a certain linear-quadratic differential game with state…
We develop a model for the industry dynamics in the electricity market, based on mean-field games of optimal stopping. In our model, there are two types of agents: the renewable producers and the conventional producers. The renewable…