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We investigate stochastic differential games of optimal trading comprising a finite population. There are market frictions in the present framework, which take the form of stochastic permanent and temporary price impacts. Moreover,…
Even when confronted with the same data, agents often disagree on a model of the real-world. Here, we address the question of how interacting heterogenous agents, who disagree on what model the real-world follows, optimize their trading…
We study a game between two firms in which each provide a service based on machine learning. The firms are presented with the opportunity to purchase a new corpus of data, which will allow them to potentially improve the quality of their…
This paper proposes a novel energy sharing mechanism for prosumers who can produce and consume. Different from most existing works, the role of individual prosumer as a seller or buyer in our model is endogenously determined. Several…
One key in real-life Nash equilibrium applications is to calibrate players' cost functions. To leverage the approximation ability of neural networks, we proposed a general framework for optimizing and learning Nash equilibrium using neural…
We study a networked economic system composed of $n$ producers supplying a single homogeneous good to a number of geographically separated markets and of a centralized authority, called the market maker. Producers compete \`a la Cournot, by…
We analyze a market impact game between $n$ risk averse agents who compete for liquidity in a market impact model with permanent price impact and additional slippage. Most market parameters, including volatility and drift, are allowed to…
In this paper, we introduce a preliminary model for interactions in the data market. Recent research has shown ways in which a data aggregator can design mechanisms for users to ensure the quality of data, even in situations where the users…
Electricity markets differ in their ability to meet power imbalances in short notice in a controlled fashion. Relatively flexible markets have the ability to ramp up (or down) power flows across interties without compromising their ability…
In this paper we deal with linear production situations in which there is a limited common-pool resource, managed by an external agent. The profit that a producer, or a group of producers, can attain depends on the amount of common-pool…
The introduction of aggregator structures has proven effective in bringing fairness to energy resource allocation by negotiating for more resources and economic surplus on behalf of users. This paper extends the fair energy resource…
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…
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…
In this paper, we consider a Nash equilibrium seeking problem for a class of high-order multi-agent systems with unknown dynamics. Different from existing results for single integrators, we aim to steer the outputs of this class of…
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 study a mean field game problem arising from the production control for multiple firms with price stickiness in the commodity market. The price dynamics for each firm is described as a (controlled) jump-diffusion process with mean-field…
This paper develops a new methodology for studying continuous-time Nash equilibrium in a financial market with asymmetrically informed agents. This approach allows us to lift the restriction of risk neutrality imposed on market makers by…
We model a system of n asymmetric firms selling a homogeneous good in a common market through a pay-as-bid auction. Every producer chooses as its strategy a supply function returning the quantity S(p) that it is willing to sell at a minimum…
Nash equilibrium is one of the most influential solution concepts in game theory. With the development of computer science and artificial intelligence, there is an increasing demand on Nash equilibrium computation, especially for Internet…
We study an energy market composed of producers who compete to supply energy to different markets and want to maximize their profits. The energy market is modeled by a graph representing a constrained power network where nodes represent the…