Related papers: An Infinite-Dimensional Insider Trading Game
The Perfectly Transparent Equilibrium is algorithmically defined, for any game in normal form with perfect information and no ties, as the iterated deletion of non-individually-rational strategy profiles until at most one remains. In this…
This paper aims to solve two fundamental problems on finite or infinite horizon dynamic games with perfect or almost perfect information. Under some mild conditions, we prove (1) the existence of subgame-perfect equilibria in general…
We apply Blackwell optimality to repeated games. An equilibrium whose strategy profile is sequentially rational for all high enough discount factors simultaneously is a Blackwell (subgame-perfect, perfect public, etc.) equilibrium. The bite…
We consider a trader who aims to liquidate a large position in the presence of an arbitrageur who hopes to profit from the trader's activity. The arbitrageur is uncertain about the trader's position and learns from observed price…
We develop an empirical framework for analyzing dynamic games when the underlying information structure is unknown to the analyst. We introduce \textit{Markov correlated equilibrium}, a dynamic analog of Bayes correlated equilibrium, and…
We study linear-quadratic games of incomplete information with Gaussian uncertainty, where each player's payoff depends on a privately observed type and a common state. The designer observes the state, elicits types, and sells action…
A new simple model of financial market is proposed, based on the sequential and inter-temporal nature of trader-trader interaction, and on a new simple trading strategy space. In this pattern-based speculation model, the traders open and…
We introduce a "high probability" framework for repeated games with incomplete information. In our non-equilibrium setting, players aim to guarantee a certain payoff with high probability, rather than in expected value. We provide a high…
Deception is a technique to mislead human or computer systems by manipulating beliefs and information. Successful deception is characterized by the information-asymmetric, dynamic, and strategic behaviors of the deceiver and the deceivee.…
We study partial information Nash equilibrium between a broker and an informed trader. In this setting, the informed trader, who possesses knowledge of a trading signal, trades multiple assets with the broker in a dealer market.…
Estimating discrete games of complete information is often computationally difficult due to partial identification and the absence of closed-form moment characterizations. This paper proposes computationally tractable approaches to…
Optimizing strategic decisions (a.k.a. computing equilibrium) is key to the success of many non-cooperative multi-agent applications. However, in many real-world situations, we may face the exact opposite of this game-theoretic problem --…
This study investigates differential games with motion-payoff uncertainty in continuous-time settings. We propose a framework where players update their beliefs about uncertain parameters using continuous Bayesian updating. Theoretical…
Zero-sum asymmetric games model decision making scenarios involving two competing players who have different information about the game being played. A particular case is that of nested information, where one (informed) player has superior…
We propose two novel frameworks to study the price formation of an asset negotiated in an order book. Specifically, we develop a game-theoretic model in many-person games and mean-field games, considering costs stemming from limited…
The folk result in Kyle-Back models states that the value function of the insider remains unchanged when her admissible strategies are restricted to absolutely continuous ones. In this paper we show that, for a large class of pricing rules…
In this paper, we provide an effective characterization of all the subgame-perfect equilibria in infinite duration games played on finite graphs with mean-payoff objectives. To this end, we introduce the notion of requirement, and the…
We study a general class of dynamic games with asymmetric information where agents' beliefs are strategy dependent, i.e. signaling occurs. We show that the notion of sufficient information, introduced in the companion paper team, can be…
We introduce the notion of exchangeable equilibria of a symmetric bimatrix game, defined as those correlated equilibria in which players' strategy choices are conditionally independently and identically distributed given some hidden…
We address the equilibrium concept of a reverse auction game so that no one can enhance the individual payoff by a unilateral change when all the others follow a certain strategy. In this approach the combinatorial possibilities to consider…