Related papers: Liquidity Competition Between Brokers and an Infor…
Firms strategically disclose product information in order to attract consumers, but recipients often find it costly to process all of it, especially when products have complex features. We study a model of competitive information disclosure…
Traders buy and sell financial instruments in hopes of making profit, and brokers are responsible for the transaction. There are several hypotheses and conspiracy theories arguing that in some situations, brokers want their traders to lose…
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have…
Recent research in industrial organisation has investigated the essential place that middlemen have in the networks that make up our global economy. In this paper we attempt to understand how such middlemen compete with each other through a…
We develop a multi-period Kyle-type model that incorporates both mandatory disclosure of informed trades and imperfect competition among market makers. We prove the existence and uniqueness of a linear equilibrium and show that the…
We study the role of contextual information in the online learning problem of brokerage between traders. In this sequential problem, at each time step, two traders arrive with secret valuations about an asset they wish to trade. The learner…
This paper presents an equilibrium model of dynamic trading, learning, and pricing by strategic investors with trading targets and price impact. Since trading targets are private, rebalancers and liquidity providers filter the child order…
In this paper, we investigate informational asymmetries in the Colonel Blotto game, a game-theoretic model of competitive resource allocation between two players over a set of battlefields. The battlefield valuations are subject to…
This paper is concerned with a leader-follower stochastic differential game with asymmetric information, where the information available to the follower is based on some sub-$\sigma$-algebra of that available to the leader. Such kind of…
In online advertising systems, publishers often face a trade-off in information disclosure strategies: while disclosing more information can enhance efficiency by enabling optimal allocation of ad impressions, it may lose revenue potential…
A seller sells an object over time but is uncertain how the buyer learns their willingness-to-pay. We consider informational robustness under \textit{limited commitment}, where the seller offers a price \textit{each period} to maximize…
With the digitalization of the financial market, dealers are increasingly handling market-making activities by algorithms. Recent antitrust literature raises concerns on collusion caused by artificial intelligence. This paper studies the…
Linear Fisher market is one of the most fundamental economic models. The market is traditionally examined on the basis of individual's price-taking behavior. However, this assumption breaks in markets such as online advertising and…
We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs from the adverse impact of his trades on market prices. By…
With the electrification of ride-hailing fleets, there will be a need to incentivize where and when the ride-hailing vehicles should charge. In this work, we assume that a central authority wants to control the distribution of the vehicles…
The continuous-time version of Kyle's (1985) model is studied, in which market makers are not fiduciaries. They have some market power which they utilize to set the price to their advantage, resulting in positive expected profits. This has…
This paper is concerned with a three-level stochastic linear-quadratic Stackelberg differential game with asymmetric information, in which three players participate credited as Player 1, Player 2 and Player 3. Player 3 acts as the leader of…
We consider trading against a hedge fund or large trader that must liquidate a large position in a risky asset if the market price of the asset crosses a certain threshold. Liquidation occurs in a disorderly manner and negatively impacts…
Alpha signals for statistical arbitrage strategies are often driven by latent factors. This paper analyses how to optimally trade with latent factors that cause prices to jump and diffuse. Moreover, we account for the effect of the trader's…
Due to the large size of the training data, distributed learning approaches such as federated learning have gained attention recently. However, the convergence rate of distributed learning suffers from heterogeneous worker performance. In…