Related papers: Liquidity Competition Between Brokers and an Infor…
In this work, we use a Stackelberg infinite discrete-time dynamic game model to study the optimal supply schedule and the optimal demand response under a market-driven dynamic price. A two-layer optimization framework is established. At the…
We consider an agent who needs to buy (or sell) a relatively small amount of asset over some fixed short time interval. We work at the highest frequency meaning that we wish to find the optimal tactic to execute our quantity using limit…
We prove the existence of a continuous-time Radner equilibrium with multiple agents and transaction costs. The agents are incentivized to trade towards a targeted number of shares throughout the trading period and seek to maximize their…
Mobile data offloading is an emerging technology to avoid congestion in cellular networks and improve the level of user satisfaction. In this paper, we develop a distributed market framework to price the offloading service, and conduct a…
This paper studies the dynamic pricing mechanism for data products in demand-driven markets through a game-theoretic framework. We develop a three-tier Stackelberg game model to capture the hierarchical strategic interactions among key…
We develop from basic economic principles a continuous-time model for a large investor who trades with a finite number of market makers at their utility indifference prices. In this model, the market makers compete with their quotes for the…
This paper is concerned with a two-person zero-sum indefinite stochastic linear-quadratic Stackelberg differential game with asymmetric informational uncertainties, where both the leader and follower face different and unknown disturbances.…
Strategic interaction in congested systems is commonly modelled using Stackelberg games, where competing leaders anticipate the behaviour of self-interested followers. A key limitation of existing models is that they typically ignore agents…
In this research, we have empirically investigated the key drivers affecting liquidity in equity markets. We illustrated how theoretical models, such as Kyle's model, of agents' interplay in the financial markets, are aligned with the…
Considering a supply chain with partial vertical integration, we attempt to seek answers to several questions related to the cooperation competition based friction, abundant in such networks. Such an SC can represent a supplier with an…
Over the past few years, the futures market has been successfully developing in the North-West region. Futures markets are one of the most effective and liquid-visible trading mechanisms. A large number of buyers are forced to compete with…
Motivated by recent progress on pricing in the AI literature, we study marketplaces that contain multiple vendors offering identical or similar products and unit-demand buyers with different valuations on these vendors. The objective of…
In this paper, we describe a novel agent-based approach for modelling the transaction cost of buying or selling an asset in financial markets, e.g., to liquidate a large position as a result of a margin call to meet financial obligations.…
This is the third paper in a series concerning the game-theoretic aspects of position-building while in competition. The first paper set forth foundations and laid out the essential goal, which is to minimize implementation costs in light…
Latency (i.e., time delay) in electronic markets affects the efficacy of liquidity taking strategies. During the time liquidity takers process information and send marketable limit orders (MLOs) to the exchange, the limit order book (LOB)…
In this paper, the problem of grid-to-vehicle energy exchange between a smart grid and plug-in electric vehicle groups (PEVGs) is studied using a noncooperative Stackelberg game. In this game, on the one hand, the smart grid that acts as a…
Sharing systems have facilitated the redistribution of underused resources by providing convenient online marketplaces for individual sellers and buyers. However, sellers in these systems may not fully disclose the information of their…
We examine the dynamics of informational efficiency in a market with asymmetrically informed, boundedly rational traders who adaptively learn optimal strategies using simple multiarmed bandit (MAB) algorithms. The strategies available to…
We investigate brokerage between traders from an online learning perspective. At any round $t$, two traders arrive with their private valuations, and the broker proposes a trading price. Unlike other bilateral trade problems already studied…
We study a new kind of non-zero-sum stochastic differential game with mixed impulse/switching controls, motivated by strategic competition in commodity markets. A representative upstream firm produces a commodity that is used by a…