Related papers: Randomization in Optimal Execution Games
The paper deals with a class of parametrized equilibrium problems, where the objectives of the players do possess nonsmooth terms. The respective Nash equilibria can be characterized via a parameter-dependent variational inequality of the…
This paper studies the existence of pure Nash equilibria in resource graph games, which are a general class of strategic games used to succinctly represent the players' private costs. There is a finite set of resources and the strategy set…
We study the existence of mixed-strategy equilibria in concurrent games played on graphs. While existence is guaranteed with safety objectives for each player, Nash equilibria need not exist when players are given arbitrary terminal-reward…
This paper investigates the impact of anonymous trading on the agents' strategy in an optimal execution framework. It mainly explores the specificity of order attribution on the Toronto Stock Exchange, where brokers can choose to either…
Within a common arbitrage-free semimartingale financial market we consider the problem of determining all Nash equilibrium investment strategies for $n$ agents who try to maximize the expected utility of their relative wealth. The utility…
We study stochastic mean-field games among finite number of teams with large finite as well as infinite number of decision makers. For this class of games within static and dynamic settings, we establish the existence of a Nash equilibrium,…
We study the problem of computing an approximate Nash equilibrium of continuous-action game without access to gradients. Such game access is common in reinforcement learning settings, where the environment is typically treated as a black…
An extensive literature in economics and social science addresses contests, in which players compete to outperform each other on some measurable criterion, often referred to as a player's score, or output. Players incur costs that are an…
This paper tackles the problem of adversarial examples from a game theoretic point of view. We study the open question of the existence of mixed Nash equilibria in the zero-sum game formed by the attacker and the classifier. While previous…
Nash equilibrium serves as a fundamental mathematical tool in economics and game theory. However, it classically assumes knowledge of player utilities, whereas economics generally regards preferences as more fundamental. To leverage…
Drawing intuition from a (physical) hydraulic system, we present a novel framework, constructively showing the existence of a strong Nash equilibrium in resource selection games (i.e., asymmetric singleton congestion games) with nonatomic…
We use techniques from the statistical mechanics of disordered systems to analyse the properties of Nash equilibria of bimatrix games with large random payoff matrices. By means of an annealed bound, we calculate their number and analyse…
Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution…
This paper examines a trade execution game for two large traders in a generalized price impact model. We incorporate a stochastic and sequentially dependent factor that exogenously affects the market price into financial markets. Our model…
This paper investigates the efficiency loss in social cost caused by strategic bidding behavior of individual participants in a supply-demand balancing market, and proposes a mechanism to fully recover equilibrium social optimum via…
Synthesis of finite-state controllers from high-level specifications in multi-agent systems can be reduced to solving multi-player concurrent games over finite graphs. The complexity of solving such games with qualitative objectives for…
We suggest a novel stochastic-approximation algorithm to compute a symmetric Nash-equilibrium strategy in a general queueing game with a finite action space. The algorithm involves a single simulation of the queueing process with dynamic…
Network congestion games are a convenient model for reasoning about routing problems in a network: agents have to move from a source to a target vertex while avoiding congestion, measured as a cost depending on the number of players using…
Adversarial training is a standard technique for training adversarially robust models. In this paper, we study adversarial training as an alternating best-response strategy in a 2-player zero-sum game. We prove that even in a simple…
We consider the problem of optimal investment with random endowment in a Black--Scholes market for an agent with constant relative risk aversion. Using duality arguments, we derive an explicit expression for the optimal trading strategy,…