相关论文: The Effect of Market Power on Risk-Sharing

We study a multi-player stochastic differential game, where agents interact through their joint price impact on an asset that they trade to exploit a common trading signal. In this context, we prove that a closed-loop Nash equilibrium…

All-pay auctions, a common mechanism for various human and agent interactions, suffers, like many other mechanisms, from the possibility of players' failure to participate in the auction. We model such failures, and fully characterize…

This paper develops a dynamic insurance market model comprising two competing insurance companies and a continuum of insureds, and examines the interaction between strategic underreporting by the insureds and competitive pricing between the…

Although both data availability and the demand for accurate forecasts are increasing, collaboration between stakeholders is often constrained by data ownership and competitive interests. In contrast to recent proposals within cooperative…

Traders in a market typically have widely different, private information on the return of an asset. The equilibrium price of the asset may reflect this information more accurately if the number of traders is large enough compared to the…

We consider the problem of designing distribution rules to share "welfare" (cost or revenue) among individually strategic agents. There are many known distribution rules that guarantee the existence of a (pure) Nash equilibrium in this…

We consider a security game in a setting consisting of two players (an attacker and a defender), each with a given budget to allocate towards attack and defense, respectively, of a set of nodes. Each node has a certain value to the attacker…

We introduce a microscopic model of interacting financial agents, where each agent is characterized by two portfolios; money invested in bonds and money invested in stocks. Furthermore, each agent is faced with an optimization problem in…

Competitions for shareable and limited resources have long been studied with strategic agents. In reality, agents often have to learn and maximize the rewards of the resources at the same time. To design an individualized competing policy,…

We propose a generic strategic network resource sharing game between a set of players representing operators. The players negotiate which sets of players share given resources, serving users with varying sensitivity to interference. We…

We study Pareto optimality in a decentralized peer-to-peer risk-sharing market where agents' preferences are represented by robust distortion risk measures that are not necessarily convex. We obtain a characterization of Pareto-optimal…

The introduction of aggregator structures has proven effective in bringing fairness to energy resource allocation by negotiating for more resources and economic surplus on behalf of users. This paper extends the fair energy resource…

We consider repeated allocation of a shared resource via a non-monetary mechanism, wherein a single item must be allocated to one of multiple agents in each round. We assume that each agent has i.i.d. values for the item across rounds, and…

We consider a sharing economy network where agents embedded in a graph share their resources. This is a fundamental model that abstracts numerous emerging applications of collaborative consumption systems. The agents generate a random…

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…

Optimization methods are used to determine equilibria of investment in cryptocurrencies. The basic assumptions involve existence of a core group (the "wealthy") that fears the loss of substantial assets through government seizure.…

We present a novel framework to learn functions that estimate decisions of sellers and buyers simultaneously in an oligopoly market for a price-sensitive product. In this setting, the aim of the seller network is to come up with a price for…

Focusing on gains & losses relative to a risk-free benchmark instead of terminal wealth, we consider an asset allocation problem to maximize time-consistently a mean-risk reward function with a general risk measure which is i)…

A digital security breach, by which confidential information is leaked, does not only affect the agent whose system is infiltrated, but is also detrimental to other agents socially connected to the infiltrated system. Although it has been…

The paper deals with a class of parametrized equilibrium problems, where the objectives of the players do possess nonsmooth terms. The respective Nash equilibria can be characterized via a parameter-dependent variational inequality of the…