Related papers: The Invisible Handshake: Persistent Overpricing by…
We consider a retailer who buys energy in the wholesale market and resells it to final consumers. The retailer has to decide when to intervene to change the price he asks to his customers, in order to maximize his income. We model the…
This article provides a simple explanation of the asymptotic concavity of the price impact of a meta-order via the microstructural properties of the market. This explanation is made more precise by a model in which the local relationship…
Expanding the ideas of the author's paper 'Nonexpansive maps and option pricing theory' (Kibernetica 34:6 (1998), 713-724) we develop a pure game-theoretic approach to option pricing, by-passing stochastic modeling. Risk neutral…
Given the combined evidences of bounded rationality, limited information and short-term optimization, over-the-counter (OTC) fresh product markets provide a perfect instance where to develop a behavioural approach to the analysis of…
A generalized continuous economic model is proposed for random markets. In this model, agents interact by pairs and exchange their money in a random way. A parameter controls the effectiveness of the transactions between the agents. We show…
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…
Modern AI systems increasingly operate inside markets and institutions where data, behavior, and incentives are endogenous. This paper develops an economic foundation for multi-agent learning by studying a principal-agent interaction in a…
We propose an artificial market model based on deterministic agents. The agents modify their ask/bid price depending on past price changes. The temporal development of market price fluctuations is calculated numerically. A probability…
We study the problem of allocating indivisible objects to a set of rational agents where each agent's final utility depends on the intrinsic valuation of the allocated item as well as the allocation within the agent's local neighbourhood.…
The coordination of actions and the allocation of profit in supply chains under decentralized control play an important role in improving the profits of retailers and suppliers in the chain. We focus on supply chains under decentralized…
This work suggests modifications to a previously introduced class of heterogeneous agent models that allow for the inclusion of different types of agent motivations and behaviours in a unified way. The agents operate within a highly…
We consider an optimal trading problem under a market impact model with endogenous market resistance generated by a sophisticated trader who (partially) detects metaorders and trades against them to exploit price overreactions induced by…
There are several aspects of data markets that distinguish them from a typical commodity market: asymmetric information, the non-rivalrous nature of data, and informational externalities. Formally, this gives rise to a new class of games…
We consider a bipartite network of buyers and sellers, where the sellers run locally independent Progressive Second-Price (PSP) auctions, and buyers may participate in multiple auctions, forming a multi-auction market with perfect…
We consider a feature-based personalized pricing problem in which the buyer is strategic: given the seller's pricing policy, the buyer can augment the features that they reveal to the seller to obtain a low price for the product. We model…
In this paper, we consider the problem of resource congestion control for competing online learning agents. On the basis of non-cooperative game as the model for the interaction between the agents, and the noisy online mirror ascent as the…
Pricing decisions are increasingly made by AI. Thanks to their ability to train with live market data while making decisions on the fly, deep reinforcement learning algorithms are especially effective in taking such pricing decisions. In…
We investigate how asymmetric information affects equilibrium price formation in an economy with many interacting agents. Motivated by a finite-player model with two populations of asymmetrically informed agents, we study its mean-field…
There has been much recent interest in two-sided markets and dynamics thereof. In a rather a general discrete-time feedback model, which we show conditions that assure that for each agent, there exists the limit of a long-run average…
Prediction markets elicit and aggregate beliefs by paying agents based on how close their predictions are to a verifiable future outcome. However, outcomes of many important questions are difficult to verify or unverifiable, in that the…