Related papers: Arbitrage on Decentralized Exchanges
Most products are produced and sold by supply chain networks, where an interconnected network of producers and intermediaries set prices to maximize their profits. I show that there exists a unique equilibrium in a price-setting game on a…
The increasing interconnection of power systems through AC and DC links enables energy storage units to access multiple electricity markets yet most existing arbitrage models remain limited to singlemarket participation This gap restricts…
Autonomous vehicles will be an integral part of ride-sharing services in the future. This setting differs from traditional ride-sharing marketplaces because of the absence of the supply side (drivers). However, it has far-reaching…
We study the optimal control of storage which is used for arbitrage, i.e. for buying a commodity when it is cheap and selling it when it is expensive. Our particular concern is with the management of energy systems, although the results are…
This paper characterises optimal incentive schemes for ESG disclosure in a continuous-time principal-agent setting. We model a risk-averse principal (e.g., a platform or standard-setter) contracting with a team of heterogeneous agents whose…
The classical theory of efficient allocations of an aggregate endowment in a pure-exchange economy has hitherto primarily focused on the Pareto-efficiency of allocations, under the implicit assumption that transfers between agents are…
The introduction of leverage on prediction-market event contracts raises three structurally distinct questions that have not been addressed jointly: how leverage changes manipulation incentives, how it interacts with informed-trading rents,…
Consider a multi-class preemptive-resume $M/D/1$ queueing system that supports advance reservations (AR). In this system, strategic customers must decide whether to reserve a server in advance (thereby gaining higher priority) or avoid AR.…
We study the problem of decision-making in the setting of a scarcity of shared resources when the preferences of agents are unknown a priori and must be learned from data. Taking the two-sided matching market as a running example, we focus…
The goal of this work is to study binary market models with transaction costs, and to characterize their arbitrage opportunities. It has been already shown that the absence of arbitrage is related to the existence of \lambda-consistent…
This paper studies strategic decentralization in binary choice composite network congestion games. A player decentralizes if she lets some autonomous agents to decide respectively how to send different parts of her stock from the origin to…
We prove the existence of a continuous-time Radner equilibrium with multiple agents and transaction costs. The agents are incentivized to trade towards a targeted number of shares throughout the trading period and seek to maximize their…
We study how transaction cost affects to the equilibrium return and optimal stock holdings in equilibrium. To this end, we develop a continuous-time risk-sharing model where heterogenous agents trade toward terminal target holdings subject…
Contrary to the widely believed hypothesis that larger, denser cities promote socioeconomic mixing, a recent study (Nilforoshan et al. 2023) reports the opposite behavior, i.e. more segregation. Here, we present a game-theoretic model that…
This study investigates an adaptive pricing scheme aimed at achieving an efficient state in a traffic congestion game characterized by a diverse population of road users. While the planner possesses knowledge of players' preferences, their…
We characterize absence of arbitrage with simple trading strategies in a discounted market with a constant bond and several risky assets. We show that if there is a simple arbitrage, then there is a 0-admissible one or an obvious one, that…
We investigate the profitability and risk of energy storage arbitrage in electricity markets under price uncertainty, exploring both robust and chance-constrained optimization approaches. We analyze various uncertainty representations,…
We study one-shot Nash competition between an arbitrary number of identical dealers that compete for the order flow of a client. The client trades either because of proprietary information, exposure to idiosyncratic risk, or a mix of both…
We present an arbitrage free theoretical framework for modeling bid and ask prices of dividend paying securities in a discrete time setup using theory of dynamic acceptability indices. In the first part of the paper we develop the theory of…
We derive integral tests for the existence and absence of arbitrage in a financial market with one risky asset which is either modeled as stochastic exponential of an Ito process or a positive diffusion with Markov switching. In particular,…