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We consider a single buyer with a combinatorial preference that would like to purchase related products and services from different vendors, where each vendor supplies exactly one product. We study the general case where subsets of products…
Randomized mechanisms, which map a set of bids to a probability distribution over outcomes rather than a single outcome, are an important but ill-understood area of computational mechanism design. We investigate the role of randomized…
Using the most comprehensive, commercially-available dataset of trading activity in U.S. equity markets, we catalog and analyze quote dislocations between the SIP National Best Bid and Offer (NBBO) and a synthetic BBO constructed from…
We consider multi-dimensional payoff functions in partially observable Markov decision processes. We study the structure of the set of expected payoff vectors of all strategies (policies) and study what kind are needed to achieve a given…
We introduce Prediction Arena, a benchmark for evaluating AI models' predictive accuracy and decision-making by enabling them to trade autonomously on live prediction markets with real capital. Unlike synthetic benchmarks, Prediction Arena…
We consider polymatrix coordination games with individual preferences where every player corresponds to a node in a graph who plays with each neighbor a separate bimatrix game with non-negative symmetric payoffs. In this paper, we study…
We study optimal execution in markets with transient price impact in a competitive setting with $N$ traders. Motivated by prior negative results on the existence of pure Nash equilibria, we consider randomized strategies for the traders and…
In this work we study the optimal execution problem with multiplicative price impact in algorithm trading, when an agent holds an initial position of shares of a financial asset. The inter-selling-decision times are modelled by the arrival…
Large language models can score well on named game-theory benchmarks while failing on the same strategic computation once semantic cues are removed. We show this gap with procedurally generated zero-sum matrix games: a model that recognizes…
Non-Fungible Token (NFT) markets are one of the fastest growing digital markets today, with the sales during the third quarter of 2021 exceeding $10 billions! Nevertheless, these emerging markets - similar to traditional emerging…
How much is an on-ball screen worth? How much is a backdoor cut away from the ball worth? Basketball is one of a number of sports which, within the past decade, have seen an explosion in quantitative metrics and methods for evaluating…
Even skilled fantasy football managers can be disappointed by their mid-season rosters as some players inevitably fall short of draft day expectations. Team managers can quickly discover that their team has a low score ceiling even if they…
Prediction markets cannot exist without market makers, arbitrageurs, and other non-retail liquidity providers, yet the supply-side microstructure of Polymarket-class venues has not been characterized at on-chain pseudonymous-address scale.…
We conduct a comprehensive analysis of the discrete-time exponential-weights dynamic with a constant step size on all general-sum and symmetric $2 \times 2$ normal-form games, i.e. games with $2$ pure strategies per player, and where the…
We study the complexity of computing equilibria in two classes of network games based on flows - fractional BGP (Border Gateway Protocol) games and fractional BBC (Bounded Budget Connection) games. BGP is the glue that holds the Internet…
In a fixed time horizon, appropriately executing a large amount of a particular asset -- meaning a considerable portion of the volume traded within this frame -- is challenging. Especially for illiquid or even highly liquid but also highly…
Strategic bidding tactics employed by prosumers in local markets, including the Local Electricity Market (LEM) and Local Flexibility Market (LFM), have attracted significant attention due to their potential to enhance economic benefits for…
We study balanced solutions for network bargaining games with general capacities, where agents can participate in a fixed but arbitrary number of contracts. We provide the first polynomial time algorithm for computing balanced solutions for…
The Kelly or proportional allocation mechanism is a simple and efficient auction-based scheme that distributes an infinitely divisible resource proportionally to the agents bids. When agents are aware of the allocation rule, their…
This paper initiates a study into the century-old issue of market predictability from the perspective of computational complexity. We develop a simple agent-based model for a stock market where the agents are traders equipped with simple…