Related papers: Randomization in Optimal Execution Games

Optimization methods are used to determine equilibria of investment in cryptocurrencies. The basic assumptions involve existence of a core group (the "wealthy") that fears the loss of substantial assets through government seizure.…

In this paper, we consider $n$ agents who invest in a general financial market that is free of arbitrage and complete. The aim of each investor is to maximize her expected utility while ensuring, with a specified probability, that her…

We study the problem of checking for the existence of constrained pure Nash equilibria in a subclass of polymatrix games defined on weighted directed graphs. The payoff of a player is defined as the sum of nonnegative rational weights on…

We study how the structure of the interaction graph of a game affects the existence of pure Nash equilibria. In particular, for a fixed interaction graph, we are interested in whether there are pure Nash equilibria arising when random…

We consider multi-agent decision making, where each agent optimizes its cost function subject to constraints. Agents' actions belong to a compact convex Euclidean space and the agents' cost functions are coupled. We propose a distributed…

We consider normal-form games with $n$ players and two strategies for each player, where the payoffs are i.i.d. random variables with some distribution $F$ and we consider issues related to the pure equilibria in the game as the number of…

We consider an Ito-financial market at which the risky assets' returns are derived endogenously through a market-clearing condition amongst heterogeneous risk-averse investors with quadratic preferences and random endowments. Investors act…

We address learning Nash equilibria in convex games under the payoff information setting. We consider the case in which the game pseudo-gradient is monotone but not necessarily strictly monotone. This relaxation of strict monotonicity…

Optimal execution of a portfolio have been a challenging problem for institutional investors. Traders face the trade-off between average trading price and uncertainty, and traditional methods suffer from the curse of dimensionality. Here,…

Game theory finds nowadays a broad range of applications in engineering and machine learning. However, in a derivative-free, expensive black-box context, very few algorithmic solutions are available to find game equilibria. Here, we propose…

It is well-known that for infinitely repeated games, there are computable strategies that have best responses, but no computable best responses. These results were originally proved for either specific games (e.g., Prisoner's dilemma), or…

In classical job-scheduling games, each job behaves as a selfish player, choosing a machine to minimize its own completion time. To reduce the equilibria inefficiency, coordination mechanisms are employed, allowing each machine to follow…

In this paper, we investigate a competitive market involving two agents who consider both their own wealth and the wealth gap with their opponent. Both agents can invest in a financial market consisting of a risk-free asset and a risky…

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 design of distributed algorithms is central to the study of multiagent systems control. In this paper, we consider a class of combinatorial cost-minimization problems and propose a framework for designing distributed algorithms with a…

We analyze the performance of the best-response dynamic across all normal-form games using a random games approach. The playing sequence -- the order in which players update their actions -- is essentially irrelevant in determining whether…

We consider $n$ risk-averse agents who compete for liquidity in an Almgren--Chriss market impact model. Mathematically, this situation can be described by a Nash equilibrium for a certain linear-quadratic differential game with state…

In the traditional game-theoretic set up, where agents select actions and experience corresponding utilities, an equilibrium is a configuration where no agent can improve their utility by unilaterally switching to a different action. In…

Power system operators and electric utility companies often impose a coincident peak demand charge on customers when the aggregate system demand reaches its maximum. This charge incentivizes customers to strategically shift their peak usage…

We consider the general problem of a set of agents trading a portfolio of assets in the presence of transient price impact and additional quadratic transaction costs and we study, with analytical and numerical methods, the resulting Nash…