Related papers: Randomization in Optimal Execution Games

We study an optimal execution strategy for purchasing a large block of shares over a fixed time horizon. The execution problem is subject to a general price impact that gradually dissipates due to market resilience. We allow for general…

In this paper, we investigate the impact of introducing relative entropy regularization on the Nash Equilibria (NE) of General-Sum $N$-agent games, revealing the fact that the NE of such games conform to linear Gaussian policies. Moreover,…

We study pure-strategy Nash equilibria in multi-player concurrent deterministic games, for a variety of preference relations. We provide a novel construction, called the suspect game, which transforms a multi-player concurrent game into a…

We consider the scenario where $N$ utilities strategically bid for electricity in the day-ahead market and balance the mismatch between the committed supply and actual demand in the real-time market, with uncertainty in demand and local…

In cost sharing games, the existence and efficiency of pure Nash equilibria fundamentally depends on the method that is used to share the resources' costs. We consider a general class of resource allocation problems in which a set of…

We address the question of whether price of stability results (existence of equilibria with low social cost) are robust to incomplete information. We show that this is the case in potential games, if the underlying algorithmic social cost…

This work proposes a novel set of techniques for approximating a Nash equilibrium in a finite, normal-form game. It achieves this by constructing a new reformulation as solving a parameterized system of multivariate polynomials with tunable…

We study a class of games with a continuum of players for which Cournot-Nash equilibria can be obtained by the minimisation of some cost, related to optimal transport. This cost is not convex in the usual sense in general but it turns out…

Despite a substantial body of theoretical and empirical research in the fields of conjoint and discrete choice analysis as well as product line optimization, relatively few papers focused on the simulation of subsequent competitive dynamics…

We study non-atomic congestion games on parallel-link networks with affine cost functions. We investigate the power of machine-learned predictions in the design of coordination mechanisms aimed at minimizing the impact of selfishness. Our…

We consider solutions of normal form games that are invariant under strategic equivalence. We consider additional properties that can be expected (or be desired) from a solution of a game, and we observe the following: - Even the weakest…

We introduce natural strategic games on graphs, which capture the idea of coordination in a local setting. We study the existence of equilibria that are resilient to coalitional deviations of unbounded and bounded size (i.e., strong…

In this work we study the optimal execution problem with multiplicative price impact in algorithm trading, when an agent holds an initial position of shares of a financial asset. The inter-selling-decision times are modelled by the arrival…

In many game-theoretic settings, agents are challenged with taking decisions against the uncertain behavior exhibited by others. Often, this uncertainty arises from multiple sources, e.g., incomplete information, limited computation,…

We develop a general game-theoretic framework for reasoning about strategic agents performing possibly costly computation. In this framework, many traditional game-theoretic results (such as the existence of a Nash equilibrium) no longer…

The distributed computation of Nash equilibria is assuming growing relevance in engineering where such problems emerge in the context of distributed control. Accordingly, we present schemes for computing equilibria of two classes of static…

The computational study of equilibria involving constraints on players' strategies has been largely neglected. However, in real-world applications, players are usually subject to constraints ruling out the feasibility of some of their…

In this paper, we study deterministic mean field games for agents who operate in a bounded domain. In this case, the existence and uniqueness of Nash equilibria cannot be deduced as for unrestricted state space because, for a large set of…

We consider a general nonzero-sum impulse game with two players. The main mathematical contribution of the paper is a verification theorem which provides, under some regularity conditions, a suitable system of quasi-variational inequalities…

Game-theoretic techniques and equilibria analysis facilitate the design and verification of competitive systems. While algorithmic complexity of equilibria computation has been extensively studied, practical implementation and application…