Related papers: An Infinite-Dimensional Insider Trading Game
The analysis of large population economies with incomplete information often entails the integration of a continuum of random variables. We showcase the usefulness of the integral notion \`a la Pettis (1938) to study such models. We present…
This paper analyzes a finite horizon dynamic signaling game motivated by the well-known strategic information transmission problems in economics. The mathematical model involves information transmission between two agents, a sender who…
We consider distributed learning problem in games with an unknown cost-relevant parameter, and aim to find the Nash equilibrium while learning the true parameter. Inspired by the social learning literature, we propose a distributed…
We provide general theoretical foundations for modeling strategic uncertainty in large distributional Bayesian games with general type spaces, using a version of interim correlated rationalizability. We then focus on the case in which…
Game theory has emerged as a powerful framework for modeling a large range of multi-agent scenarios. Many algorithmic solutions require discrete, finite games with payoffs that have a closed-form specification. In contrast, many real-world…
We consider a finite horizon dynamic game with two players who observe their types privately and take actions, which are publicly observed. Players' types evolve as independent, controlled linear Gaussian processes and players incur…
Betting games provide a natural setting to capture how information yields strategic advantage. The Kelly criterion for betting, long a cornerstone of portfolio theory and information theory, admits an interpretation in the limit of…
We add the assumption that players know their opponents' payoff functions and rationality to a model of non-equilibrium learning in signaling games. Agents are born into player roles and play against random opponents every period.…
Classical Kyle-type models of informed trading typically treat noise trader demand as purely exogenous. In reality, many market participants react to price movements and news, generating feedback effects that can significantly alter market…
The classical, complete-information two-player games assume that the problem data (in particular the payoff matrix) is known exactly by both players. In a now famous result, Nash has shown that any such game has an equilibrium in mixed…
We study $n$-agent Bayesian Games with $m$-dimensional vector types and linear payoffs, also called Linear Multidimensional Bayesian Games. This class of games is equivalent with $n$-agent, $m$-game Uniform Multigames. We distinguish…
Global games are a class of incomplete information games where the payoffs exhibit strategic complementarity leading to an incentive for the agents to coordinate their actions. Such games have been used to model scenarios in many…
The conditional commitment abilities of mutually transparent computer agents have been studied in previous work on commitment games and program equilibrium. This literature has shown how these abilities can help resolve Prisoner's Dilemmas…
This paper examines a trade execution game for two large traders in a generalized price impact model. We incorporate a stochastic and sequentially dependent factor that exogenously affects the market price into financial markets. Our model…
In the dynamic discrete-time trading setting of Kyle (1985), we prove that Kyle's equilibrium model is stable when there are one or two trading times. For three or more trading times, we prove that Kyle's equilibrium is not stable. These…
A special case of Myerson's classic result describes the revenue-optimal equilibrium when a seller offers a single item to a buyer. We study a repeated sales extension of this model: a seller offers to sell a single fresh copy of an item to…
We consider in discrete time, a general class of sequential stochastic dynamic games with asymmetric information with the following features. The underlying system has Markovian dynamics controlled by the agents' joint actions. Each agent's…
We study an information acquisition problem in which an informed trader acquires costly information prior to trading in the Kyle equilibrium. The cost of information acquisition is represented by an entropy cost. Regardless of the prior…
This paper studies the implementation of Bayes correlated equilibria in symmetric Bayesian games with nonatomic players, using direct information structures and obedient strategies. The main results demonstrate full implementation in a…
We investigate stochastic differential games of optimal trading comprising a finite population. There are market frictions in the present framework, which take the form of stochastic permanent and temporary price impacts. Moreover,…