Related papers: Liquidity Competition Between Brokers and an Infor…
We study optimal liquidation strategies under partial information for a single asset within a finite time horizon. We propose a model tailored for high-frequency trading, capturing price formation driven solely by order flow through…
A Stackelberg game is played between a leader and a follower. The leader first chooses an action, then the follower plays his best response. The goal of the leader is to pick the action that will maximize his payoff given the follower's…
We study a recommendation system where sellers compete for visibility by strategically offering commissions to a platform that optimally curates a ranked menu of items and their respective prices for each customer. Customers interact…
We present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identified, we decompose the correlation and response functions…
In this paper, we introduce the third party to achieve the Stackelberg equilibrium with the time inconsistency in three different Stackelberg games, which are the discrete-time games, the dynamic games, and the mean field games. Here all…
We study a new "laminated" queueing model for orders on batched trading venues such as decentralised exchanges. The model aims to capture and generalise transaction queueing infrastructure that has arisen to organise MEV activity on public…
We study a competitive electricity market equilibrium with two trading stages, day-ahead and real-time. The welfare of each market agent is exposed to uncertainty (here from renewable energy production), while agent information on the…
We study a dynamic market setting where an intermediary interacts with an unknown large sequence of agents that can be either sellers or buyers: their identities, as well as the sequence length $n$, are decided in an adversarial, online…
The problem of dynamic pricing of electricity in a retail market is considered. A Stackelberg game is used to model interactions between a retailer and its customers; the retailer sets the day-ahead hourly price of electricity and consumers…
An existing challenge in power systems is the implementation of optimal demand management through dynamic pricing. This paper encompasses the design, analysis and implementation of a novel on-line pricing scheme based on coalitional game…
We derive the arbitrage gains or, equivalently, Loss Versus Rebalancing (LVR) for arbitrage between \textit{two imperfectly liquid} markets, extending prior work that assumes the existence of an infinitely liquid reference market. Our…
We study the competition of two strategic agents for liquidity in the benchmark portfolio tracking setup of Bank, Soner, Vo{\ss} (2017). Specifically, both agents track their own stochastic running trading targets while interacting through…
Computational advertising has been studied to design efficient marketing strategies that maximize the number of acquired customers. In an increased competitive market, however, a market leader (a leader) requires the acquisition of new…
We address the problem of improving bidders' strategies in prior-dependent revenue-maximizing auctions and introduce a simple and generic method to design novel bidding strategies if the seller uses past bids to optimize her mechanism. We…
As the FX markets continue to evolve, many institutions have started offering passive access to their internal liquidity pools. Market makers act as principal and have the opportunity to fill those orders as part of their risk management,…
This paper analyzes a finite horizon dynamic signaling game motivated by the well-known strategic information transmission problems in economics. The mathematical model involves information transmission between two agents, a sender who…
Stackelberg games and their resulting equilibria have received increasing attention in the multi-agent reinforcement learning literature. Each stage of a traditional Stackelberg game involves a leader(s) acting first, followed by the…
In sponsored content and service markets, the content and service providers are able to subsidize their target mobile users through directly paying the mobile network operator, to lower the price of the data/service access charged by the…
We find the equilibrium contract that an automated market maker (AMM) offers to their strategic liquidity providers (LPs) in order to maximize the order flow that gets processed by the venue. Our model is formulated as a leader-follower…
We compute equilibrium strategies in multi-stage games with continuous signal and action spaces as they are widely used in the management sciences and economics. Examples include sequential sales via auctions, multi-stage elimination…