Related papers: Liquidity Competition Between Brokers and an Infor…
This paper considers two investors who perform mean-variance portfolio selection with asymmetric information: one knows the true stock dynamics, while the other has to infer the true dynamics from observed stock evolution. Their portfolio…
Peer-to-peer(P2P) energy trading may increase efficiency and reduce costs, but introduces significant challenges for network operators such as maintaining grid reliability, accounting for network losses, and redistributing costs equitably.…
As machine learning algorithms increasingly influence critical decision making in different application areas, understanding human strategic behavior in response to these systems becomes vital. We explore individuals' choice between…
A competitive market is modeled as a game of incomplete information. One player observes some payoff-relevant state and can sell (possibly noisy) messages thereof to the other, whose willingness to pay is contingent on their own beliefs. We…
We investigate asymmetry of information in the context of robust approach to pricing and hedging of financial derivatives. We consider two agents, one who only observes the stock prices and another with some additional information, and…
We consider a stochastic game between three types of players: an inside trader, noise traders and a market maker. In a similar fashion to Kyle's model, we assume that the insider first chooses the size of her market-order and then the…
We analyse two models of liquidity provision to determine the retail traders' preference for marketable order routing. Order internalization is captured by a model of market makers competing for the retail order flow in a Bertrand fashion.…
The data sponsored scheme allows the content provider to cover parts of the cellular data costs for mobile users. Thus the content service becomes appealing to more users and potentially generates more profit gain to the content provider.…
This paper studies multi-user communication systems with two groups of users: leaders which possess system information, and followers which have no system information using the formulation of Stackelberg games. In such games, the leaders…
This work builds on the theoretical frameworks presented in "Liquidity pools as mean field games: A new framework" and "Liquidity pools as mean field games with transaction costs" by the same author, where the strategic interactions among…
This article considers the pricing and hedging of a call option when liquidity matters, that is, either for a large nominal or for an illiquid underlying asset. In practice, as opposed to the classical assumptions of a price-taking agent in…
This paper examines strategic trading under incomplete information, where firms lack full knowledge of key aspects of their competitors' trading strategies such as target sizes and market impact models. We extend previous work on…
We introduce an interactive market setup with sequential auctions where agents receive variegated signals with a known deadline. The effects of differential information and mutual learning on the allocation of overall profit \& loss (P\&L)…
A speculative agent with Prospect Theory preference chooses the optimal time to purchase and then to sell an indivisible risky asset to maximize the expected utility of the round-trip profit net of transaction costs. The optimization…
The Stackelberg equilibrium solution concept describes optimal strategies to commit to: Player 1 (termed the leader) publicly commits to a strategy and Player 2 (termed the follower) plays a best response to this strategy (ties are broken…
The modeling of the limit order book is directly related to the assumptions on the behavior of real market participants. This paper is twofold. We first present empirical findings that lay the ground for two improvements to these models.The…
We consider a stochastic game between a trader and a central bank in a target zone market with a lower currency peg. This currency peg is maintained by the central bank through the generation of permanent price impact, thereby aggregating…
Wholesale price contracts are known to be associated with double marginalization effects, which prevents supply chains from achieving their true market share. In a dynamic setting under information asymmetry, these inefficiencies manifest…
We develop the optimal trading strategy for a foreign exchange (FX) broker who must liquidate a large position in an illiquid currency pair. To maximize revenues, the broker considers trading in a currency triplet which consists of the…
Since they were authorized by the U.S. Security and Exchange Commission in 1998, electronic exchanges have boomed, and by 2010 high frequency trading accounted for over 70% of equity trades in the US. Such markets are thought to increase…