Related papers: Single-Sample Bilateral Trade with a Broker
This paper studies the trading volumes and wealth distribution of a novel agent-based model of an artificial financial market. In this model, heterogeneous agents, behaving according to the Von Neumann and Morgenstern utility theory, may…
We consider a two-way trading problem, where investors buy and sell a stock whose price moves within a certain range. Naturally they want to maximize their profit. Investors can perform up to $k$ trades, where each trade must involve the…
We provide a characterization of revenue-optimal dynamic mechanisms in settings where a monopolist sells k items over k periods to a buyer who realizes his value for item i in the beginning of period i. We require that the mechanism…
In numerous settings, agents lack sufficient data to directly learn a model. Collaborating with other agents may help, but it introduces a bias-variance trade-off, when local data distributions differ. A key challenge is for each agent to…
In this work we are concerned with the design of efficient mechanisms while eliciting limited information from the agents. First, we study the performance of sampling approximations in facility location games. Our key result is to show that…
We study gains from trade in multi-dimensional two-sided markets. Specifically, we focus on a setting with $n$ heterogeneous items, where each item is owned by a different seller $i$, and there is a constrained-additive buyer with…
A generalized continuous economic model is proposed for random markets. In this model, agents interact by pairs and exchange their money in a random way. A parameter controls the effectiveness of the transactions between the agents. We show…
This work focuses on the mathematical study of constant function market makers. We rigorously establish the conditions for optimal trading under the assumption of a quasilinear, but not necessarily convex (or concave), trade function. This…
We provide a natural learning process in which a financial trader without a risk receives a gain in case when Stock Market is inefficient. In this process, the trader rationally choose his gambles using a prediction made by a randomized…
This paper presents a new financial market simulator that may be used as a tool in both industry and academia for research in market microstructure. It allows multiple automated traders and/or researchers to simultaneously connect to an…
Much of the trading activity in Equity markets is directed to brokerage houses. In exchange they provide so-called "soft dollars," which basically are amounts spent in "research" for identifying profitable trading opportunities. Soft…
We present an experimental and simulated model of a multi-agent stock market driven by a double auction order matching mechanism. Studying the effect of cumulative information on the performance of traders, we find a non monotonic…
Exploring complex adaptive financial trading environments through multi-agent based simulation methods presents an innovative approach within the realm of quantitative finance. Despite the dominance of multi-agent reinforcement learning…
The "Money Exchange Model" is a type of agent-based simulation model used to study how wealth distribution and inequality evolve through monetary exchanges between individuals. The primary focus of this model is to identify the limiting…
We introduce solvable stochastic dealer models, which can reproduce basic empirical laws of financial markets such as the power law of price change. Starting from the simplest model that is almost equivalent to a Poisson random noise…
We study distributed binary hypothesis testing with a single sensor and two remote decision centers that are also equipped with local sensors. The communication between the sensor and the two decision centers takes place over three links: a…
Welfare maximization in bilateral trade has been extensively studied in recent years. Previous literature obtained incentive-compatible approximation mechanisms only for the private values case. In this paper, we study welfare maximization…
We introduce a two-agent problem which is inspired by price asymmetry arising from funding difference. When two parties have different funding rates, the two parties deduce different fair prices for derivative contracts even under the same…
We present a simple one-parameter model for spatially localised evolving agents competing for spatially localised resources. The model considers selling agents able to evolve their pricing strategy in competition for a fixed market. Despite…
We study the revenue maximization problem of a seller with n heterogeneous items for sale to a single buyer whose valuation function for sets of items is unknown and drawn from some distribution D. We show that if D is a distribution over…