Related papers: An Infinite-Dimensional Insider Trading Game

In this paper, the Kyle model of insider trading is extended by characterizing the trading volume with long memory and allowing the noise trading volatility to follow a general stochastic process. Under this newly revised model, the…

We study Bayesian coordination games where agents receive noisy private information over the game's payoffs, and over each others' actions. If private information over actions is of low quality, equilibrium uniqueness obtains in a manner…

We study a Bayesian coordination game where agents receive private information on the game's payoff structure. In addition, agents receive private signals on each other's private information. We show that once agents possess these different…

A double auction game with an infinite number of buyers and sellers is introduced. All sellers posses one unit of a good, all buyers desire to buy one unit. Each seller and each buyer has a private valuation of the good. The distribution of…

We propose a game-theoretic framework that incorporates both incomplete information and general ambiguity attitudes on factors external to all players. Our starting point is players' preferences on payoff-distribution vectors, essentially…

This paper develops a novel econometric framework for static discrete choice games with costly information acquisition. In traditional discrete games, players are assumed to perfectly know their own payoffs when making decisions, ignoring…

This paper studies the equilibrium pricing of asset shares in the presence of dynamic private information. The market consists of a risk-neutral informed agent who observes the firm value, noise traders, and competitive market makers who…

This paper generalizes the concept of Bayes correlated equilibrium (Bergemann and Morris, 2016) to multi-stage games. We demonstrate the power of our characterization results by applying them to a number of illustrative examples and…

We consider a market of risky financial assets whose participants are an informed trader, a representative uninformed trader, and noisy liquidity providers. We prove the existence of a market-clearing equilibrium when the insider…

We find closed-form solutions to the stochastic game between a broker and a mean-field of informed traders. In the finite player game, the informed traders observe a common signal and a private signal. The broker, on the other hand,…

We study learning dynamics induced by strategic agents who repeatedly play a game with an unknown payoff-relevant parameter. In each step, an information system estimates a belief distribution of the parameter based on the players'…

We study the problem of finding equilibrium strategies in multi-agent games with incomplete payoff information, where the payoff matrices are only known to the players up to some bounded uncertainty sets. In such games, an ex-post…

Financial markets, with their vast range of different investment opportunities, can be seen as a system of many different simultaneous games with diverse and often unknown levels of risk and reward. We introduce generalizations to the…

We consider a stochastic game between three types of players: an inside trader, noise traders and a market maker. In a similar fashion to Kyle's model, we assume that the insider first chooses the size of her market-order and then the…

We consider a finite horizon repeated game with $N$ selfish players who observe their types privately and take actions, which are publicly observed. Their actions and types jointly determine their instantaneous rewards. In each period,…

We study two-player constant-sum Bayesian games with type-independent payoffs. Under a "completeness" statistical condition, any "identifiable'" equilibrium is an ex-post equilibrium. We apply this result to a Downsian election in which…

Modeling the interaction between traffic agents is a key issue in designing safe and non-conservative maneuvers in autonomous driving. This problem can be challenging when multi-modality and behavioral uncertainties are engaged. Existing…

We prove the existence of Bayesian Nash Equilibrium (BNE) of general-sum Bayesian games with continuous types and finite actions under the conditions that the utility functions and the prior type distributions are continuous concerning the…

We study price discovery in a model where an informed agent has arbitrary private information about state probabilities and trades state-contingent claims. The model unifies the key elements of Arrow-Debreu (1954) and Kyle (1985). When the…

We define a model of interactive communication where two agents with private types can exchange information before a game is played. The model contains Bayesian persuasion as a special case of a one-round communication protocol. We define…