Related papers: Randomization in Optimal Execution Games

In this paper, we study the problem of consensus-based distributed Nash equilibrium (NE) seeking where a network of players, abstracted as a directed graph, aim to minimize their own local cost functions non-cooperatively. Considering the…

We consider a game in which the action set of each player is uncountable, and show that, from weak assumptions on the common prior, any mixed strategy has an approximately equivalent pure strategy. The assumption of this result can be…

Nash equilibrium is a key concept in game theory fundamental for elucidating the equilibrium state of strategic interactions, finding applications in diverse fields such as economics, political science, and biology. However, the Nash…

Frequent violations of fair principles in real-life settings raise the fundamental question of whether such principles can guarantee the existence of a self-enforcing equilibrium in a free economy. We show that elementary principles of…

Central results in economics guarantee the existence of efficient equilibria for various classes of markets. An underlying assumption in early work is that agents are price-takers, i.e., agents honestly report their true demand in response…

The use of reinforcement learning algorithms in financial trading is becoming increasingly prevalent. However, the autonomous nature of these algorithms can lead to unexpected outcomes that deviate from traditional game-theoretical…

We devise an optimal allocation strategy for the execution of a predefined number of stocks in a given time frame using the technique of discrete-time Stochastic Control Theory for a defined market model. This market structure allows an…

In this paper, we study which data can be induced by a correlated equilibrium given a known finite simultaneous move game. We assume that an analyst has access to the frequency of each agent's actions but does not have access to the…

Contemporary applications of machine learning in two-team e-sports and the superior expressivity of multi-agent generative adversarial networks raise important and overlooked theoretical questions regarding optimization in two-team games.…

Due to the lack of coordination, it is unlikely that the selfish players of a strategic game reach a socially good state. A possible way to cope with selfishness is to compute a desired outcome (if it is tractable) and impose it. However…

We propose an analytically tractable variation of the minority game in which rational agents use probabilistic strategies. In our model, $N$ agents choose between two alternatives repeatedly, and those who are in the minority get a pay-off…

Trading frictions are stochastic. They are, moreover, in many instances fast-mean reverting. Here, we study how to optimally trade in a market with stochastic price impact and study approximations to the resulting optimal control problem…

In this paper we focus on noncooperative games with uncertain constraints coupling the agents' decisions. We consider a setting where bounded deviations of agents' decisions from the equilibrium are possible, and uncertain constraints are…

We study the game modification problem, where a benevolent game designer or a malevolent adversary modifies the reward function of a zero-sum Markov game so that a target deterministic or stochastic policy profile becomes the unique Markov…

Nash equilibrium is one of the most influential solution concepts in game theory. With the development of computer science and artificial intelligence, there is an increasing demand on Nash equilibrium computation, especially for Internet…

We study the complexity of computing equilibria in binary public goods games on undirected graphs. In such a game, players correspond to vertices in a graph and face a binary choice of performing an action, or not. Each player's decision…

We study the pay-as-bid auction game, a supply function model with discriminatory pricing and asymmetric firms. In this game, strategies are non-decreasing supply functions relating pric to quantity and the exact choice of the strategy…

This paper studies a class of strongly monotone games involving non-cooperative agents that optimize their own time-varying cost functions. We assume that the agents can observe other agents' historical actions and choose actions that best…

The paper studies an oligopolistic equilibrium model of financial agents who aim to share their random endowments. The risk-sharing securities and their prices are endogenously determined as the outcome of a strategic game played among all…

In this paper we study infinite horizon nonzero-sum stochastic games for controlled discrete-time Markov chains on a Polish state space with risk-sensitive ergodic cost criterion. Under suitable assumptions we show that the associated…