Related papers: An Infinite-Dimensional Insider Trading Game
Interaction strategies for reward in competitive environments are significantly influenced by the nature and extent of available information. In financial markets, particularly foreign exchange (forex), traders operate independently with…
We introduce a novel equilibrium concept that incorporates Knightian uncertainty into the cursed equilibrium (Eyster and Rabin, 2005). This concept is then applied to a two-player game in which agents can engage in trade or refuse to do so.…
We formulate and analyze a general class of stochastic dynamic games with asymmetric information arising in dynamic systems. In such games, multiple strategic agents control the system dynamics and have different information about the…
Bayesian regression games are a special class of two-player general-sum Bayesian games in which the learner is partially informed about the adversary's objective through a Bayesian prior. This formulation captures the uncertainty in regard…
We present a methodology for representing probabilistic relationships in a general-equilibrium economic model. Specifically, we define a precise mapping from a Bayesian network with binary nodes to a market price system where consumers and…
We extend the concept of meta-Nash equilibrium, introduced by Eshaghi Gordji and Bagha [2026] for complete-information games, to environments with incomplete information. We define a meta-Bayesian Nash equilibrium as a profile of…
Prediction markets are a popular, prominent, and successful structure for a collective intelligence platform. However the exact mechanism by which information known to the participating traders is incorporated into the market price is…
We consider a dynamic game with asymmetric information where each player observes privately a noisy version of a (hidden) state of the world V, resulting in dependent private observations. We study structured perfect Bayesian equilibria…
We study learning dynamics induced by strategic agents who repeatedly play a game with an unknown payoff-relevant parameter. In this dynamics, a belief estimate of the parameter is repeatedly updated given players' strategies and realized…
This paper studies a nonzero-sum Dynkin game in discrete time under non-exponential discounting. For both players, there are two levels of game-theoretic reasoning intertwined. First, each player looks for an intra-personal equilibrium…
We investigate a Kyle model under Gaussian assumptions where a risk-averse informed trader has imperfect information on the fundamental price of an asset. We show that an equilibrium can be constructed by considering an optimal transport…
We study bilateral trade with interdependent values as an informed-principal problem. The mechanism-selection game has multiple equilibria that differ with respect to principal's payoff and trading surplus. We characterize the equilibrium…
We introduce a new formulation of asset trading games in continuous time in the framework of the game-theoretic probability established by Shafer and Vovk (Probability and Finance: It's Only a Game! (2001) Wiley). In our formulation, the…
We study the computation of equilibria in prediction markets in perhaps the most fundamental special case with two players and three trading opportunities. To do so, we show equivalence of prediction market equilibria with those of a…
Through a stochastic control theoretic approach, we analyze reputation games where a strategic long-lived player acts in a sequential repeated game against a collection of short-lived players. The key assumption in our model is that the…
Quantum entanglement has been recently demonstrated as a useful resource in conflicting interest games of incomplete information between two players, Alice and Bob [Pappa et al., Phys. Rev. Lett. 114, 020401 (2015)]. General setting for…
We provide an economically sound micro-foundation to linear price impact models, by deriving them as the equilibrium of a suitable agent-based system. Our setup generalizes the well-known Kyle model, by dropping the assumption of a terminal…
This paper builds a model of interactive belief hierarchies to derive the conditions under which judging an arbitrage opportunity requires Bayesian market participants to exercise their higher-order beliefs. As a Bayesian, an agent must…
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…
We consider an environment where players need to decide whether to buy a certain product (or adopt a technology) or not. The product is either good or bad, but its true value is unknown to the players. Instead, each player has her own…