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

We consider the problem of maximizing portfolio value when an agent has a subjective view on asset value which differs from the traded market price. The agent's trades will have a price impact which affect the price at which the asset is…

Noncooperative games with uncertain payoffs have been classically studied under the expected-utility theory framework, which relies on the strong assumption that agents behave rationally. However, simple experiments on human decision makers…

Models of auctions or tendering processes are introduced. In every round of bidding the players select their bid from a probability distribution and whenever a bid is unsuccessful, it is discarded and replaced. For simple models, the…

In this paper, we present a game-theoretic model describing voluntary social distancing during the spread of an epidemic. The payoffs of the agents depend on the social distancing they practice and on the probability of getting infected. We…

This work presents an asset pricing model that under rational expectation equilibrium perspective shows how, depending on risk aversion and noise volatility, a risky-asset has one equilibrium price that differs in term of efficiency: an…

Within a common arbitrage-free semimartingale financial market we consider the problem of determining all Nash equilibrium investment strategies for $n$ agents who try to maximize the expected utility of their relative wealth. The utility…

We consider a one-sided assignment market or exchange network with transferable utility and propose a model for the dynamics of bargaining in such a market. Our dynamical model is local, involving iterative updates of 'offers' based on…

In this work, we investigate an application of a Nash equilibrium seeking algorithm in a social network. In a networked game each player (user) takes action in response to other players' actions in order to decrease (increase) his cost…

We study the problem of a planner who resolves risk-return trade-offs - like financial investment decisions - on behalf of a collective of agents with heterogeneous risk preferences. The planner's objective is a two-stage utility functional…

In this paper, making use of recent statistical physics techniques and models, we address the specific role of randomness in financial markets, both at the micro and the macro level. In particular, we review some recent results obtained…

Many real-world systems are composed of interdependent networks that rely on one another. Such networks are typically designed and operated by different entities, who aim at maximizing their own payoffs. There exists a game among these…

One of the natural objectives of the field of the social networks is to predict agents' behaviour. To better understand the spread of various products through a social network arXiv:1105.2434 introduced a threshold model, in which the nodes…

We study a dynamic asset pricing problem in which a representative agent is ambiguous about the aggregate endowment growth rate and trades a risky stock, human capital, and a risk-free asset to maximize her preference value of consumption…

In cost sharing games, the existence and efficiency of pure Nash equilibria fundamentally depends on the method that is used to share the resources' costs. We consider a general class of resource allocation problems in which a set of…

In this paper, we study the Nash dynamics of strategic interplays of n buyers in a matching market setup by a seller, the market maker. Taking the standard market equilibrium approach, upon receiving submitted bid vectors from the buyers,…

We investigate a spectrum oligopoly where primary users allow secondary access in lieu of financial remuneration. Transmission qualities of the licensed bands fluctuate randomly. Each primary needs to select the price of its channel with…

In this paper the problem of optimal derivative design, profit maximization and risk minimization under adverse selection when multiple agencies compete for the business of a continuum of heterogenous agents is studied. The presence of ties…

In socio-technical multi-agent systems, deception exploits privileged information to induce false beliefs in "victims," keeping them oblivious and leading to outcomes detrimental to them or advantageous to the deceiver. We consider…

In the restructured electricity industry, electricity pooling markets are an oligopoly with strategic producers possessing private information (private production cost function). We focus on pooling markets where aggregate demand is…

We define and study a lending game to model the interbank money market, in which lending banks strategically allocate their cash to borrowing banks. The interest rate offered by each borrowing bank is within the interest rate corridor set…