Related papers: Randomization in Optimal Execution Games
Optimal execution of portfolio transactions is the essential part of algorithmic trading. In this paper we present in simple analytical form the optimal trajectory for risk-averse trader with the assumption of exponential market recovery…
Existing settings of decentralized learning either require players to have full information or the system to have certain special structure that may be hard to check and hinder their applicability to practical systems. To overcome this, we…
We find an approximate Nash equilibrium in a game between decentralized exchanges (DEXs) that compete for order flow by setting dynamic trading fees. We characterize the equilibrium via a coupled system of partial differential equations and…
Two issues of algorithmic collusion are addressed in this paper. First, we show that in a general class of symmetric games, including Prisoner's Dilemma, Bertrand competition, and any (nonlinear) mixture of first and second price auction,…
There has been substantial recent concern that pricing algorithms might learn to ``collude.'' Supra-competitive prices can emerge as a Nash equilibrium of repeated pricing games, in which sellers play strategies which threaten to punish…
We study natural improvement dynamics in weighted congestion games with polynomial latencies of maximum degree $d\geq 1$. We focus on two problems regarding the existence and efficiency of approximate pure Nash equilibria, with a reasonable…
A growing body of literature in networked systems research relies on game theory and mechanism design to model and address the potential lack of cooperation between self-interested users. Most game-theoretic models applied to system…
We investigate the portfolio execution problem under a framework in which volatility and liquidity are both uncertain. In our model, we assume that a multidimensional Markovian stochastic factor drives both of them. Moreover, we model…
In this paper, I prove the existence of a pure-strategy Nash equilibrium for a large class of games with nonconvex strategy spaces. Specifically, if each player's strategies form a compact, connected Euclidean neighborhood retract and if…
One key in real-life Nash equilibrium applications is to calibrate players' cost functions. To leverage the approximation ability of neural networks, we proposed a general framework for optimizing and learning Nash equilibrium using neural…
In a fixed time horizon, appropriately executing a large amount of a particular asset -- meaning a considerable portion of the volume traded within this frame -- is challenging. Especially for illiquid or even highly liquid but also highly…
Strategic randomization is a key principle in game theory, yet it remains underexplored in large language models (LLMs). Prior work often conflates the cognitive decision to randomize with the mechanical generation of randomness, leading to…
In this paper, we formulate an evolutionary multiple access channel game with continuous-variable actions and coupled rate constraints. We characterize Nash equilibria of the game and show that the pure Nash equilibria are Pareto optimal…
We consider the multi-period portfolio optimization problem with a single asset that can be held long or short. Due to the presence of transaction costs, maximizing the immediate reward at each period may prove detrimental, as frequent…
This paper considers the problem of inverse reinforcement learning in zero-sum stochastic games when expert demonstrations are known to be not optimal. Compared to previous works that decouple agents in the game by assuming optimality in…
We design a distributed algorithm to seek generalized Nash equilibria of a robust game with uncertain coupled constraints. Due to the uncertainty of parameters in set constraints, we aim to find a generalized Nash equilibrium in the worst…
When two players are engaged in a repeated game with unknown payoff matrices, they may use single-agent multi-armed bandit algorithms to choose the actions independent of each other. We show that when the players use Thompson sampling, the…
We consider a symmetric two-player contest, in which the choice set of effort is constrained. We apply a fundamental property of the payoff function to show that, under standard assumptions, there exists a unique Nash equilibrium in pure…
We introduce a strategic behavior in reinsurance bilateral transactions, where agents choose the risk preferences they will appear to have in the transaction. Within a wide class of risk measures, we identify agents' strategic choices to a…
This paper studies the effects of introducing altruistic agents into atomic congestion games. Altruistic behavior is modeled by a trade-off between selfish and social objectives. In particular, we assume agents optimize a linear combination…