Related papers: An Infinite-Dimensional Insider Trading Game
We propose a distributed algorithm to compute an equilibrium in aggregate games where players communicate over a fixed undirected network. Our algorithm exploits correlated perturbation to obfuscate information shared over the network. We…
We show that a Bayesian strategy map profile is a Bayesian Nash Equilibrium independent of any prior if and only if the Bayesian strategy map profile, evaluated at any type profile, is the Nash equilibrium of the so-called local…
Infinite games where several players seek to coordinate under imperfect information are deemed to be undecidable, unless the information is hierarchically ordered among the players. We identify a class of games for which joint winning…
Over the past few years, the futures market has been successfully developing in the North-West region. Futures markets are one of the most effective and liquid-visible trading mechanisms. A large number of buyers are forced to compete with…
We study a continuous time economy where agents have asymmetric information. The informed agent (``$I$''), at time zero, receives a private signal about the risky assets' terminal payoff $\Psi(X_T)$, while the uninformed agent (``$U$'') has…
This paper studies a 2-players zero-sum Dynkin game arising from pricing an option on an asset whose rate of return is unknown to both players. Using filtering techniques we first reduce the problem to a zero-sum Dynkin game on a…
Bidding in simultaneous auctions is challenging because an agent's value for a good in one auction may depend on the uncertain outcome of other auctions: the so-called exposure problem. Given the gap in understanding of general simultaneous…
The present paper investigates how insiders strategically navigate ongoing legal risk while leveraging stealth trading within a continuous-time Kyle-type framework. Legal enforcement operates concurrently with trading, which dynamic can be…
This paper studies Bayesian games with general action spaces, correlated types and interdependent payoffs. We introduce the condition of ``decomposable coarser payoff-relevant information'', and show that this condition is both sufficient…
Traditional game theory assumes that the players in the game are aware of the rules of the game. However, in practice, often the players are unaware or have only partial knowledge about the game they are playing. They may also have…
We introduce a set-valued solution concept, M equilibrium, to capture empirical regularities from over half a century of game-theory experiments. We show M equilibrium serves as a meta theory for various models that hitherto were considered…
We investigate activities that have different periods of duration. We define the profit intensity as a measure of this economic category. The profit intensity in a repeated trading has a unique property of attaining its maximum at a fixed…
We discuss a connection between Bell nonlocality and Bayesian games. This link offers interesting perspectives for Bayesian games, namely to allow the players to receive advice in the form of nonlocal correlations, for instance using…
Algorithmic trading relies on machine learning models to make trading decisions. Despite strong in-sample performance, these models often degrade when confronted with evolving real-world market regimes, which can shift dramatically due to…
We analyze a two-player, nonzero-sum Dynkin game of stopping with incomplete information. We assume that each player observes his own Brownian motion, which is not only independent of the other player's Brownian motion but also not…
Researchers in explainable artificial intelligence have developed numerous methods for helping users understand the predictions of complex supervised learning models. By contrast, explaining the $\textit{uncertainty}$ of model outputs has…
In this paper we design information elicitation mechanisms for Bayesian auctions. While in Bayesian mechanism design the distributions of the players' private types are often assumed to be common knowledge, information elicitation considers…
We develop a multi-period Kyle-type model that incorporates both mandatory disclosure of informed trades and imperfect competition among market makers. We prove the existence and uniqueness of a linear equilibrium and show that the…
We study the role of costly information in non-cooperative two-player games when an extrinsic third party information broker is introduced asymmetrically, allowing one player to obtain information about the other player's action. This…
Bayesian game is a strategic decision-making model where each player's type parameter characterizing its own objective is private information: each player knows its own type but not its rivals' types, and Bayesian Nash equilibrium (BNE) is…