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

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…

Consider an investor trading dynamically to maximize expected utility from terminal wealth. Our aim is to study the dependence between her risk aversion and the distribution of the optimal terminal payoff. Economic intuition suggests that…

We develop a tractable equilibrium model for price formation in intraday electricity markets in the presence of intermittent renewable generation. Using stochastic control theory, we identify the optimal strategies of agents with market…

We provide a strategic model of the formation of production networks that subsumes the standard general equilibrium approach. The objective of firms in our setting is to choose their supply relationships so as to maximize their profit at…

In bandwidth allocation, competing agents wish to transmit data along paths of links in a network, and each agent's utility is equal to the minimum bandwidth she receives among all links in her desired path. Recent market mechanisms for…

Trading algorithms that execute large orders are susceptible to exploitation by order anticipation strategies. This paper studies the influence of order anticipation strategies in a multi-investor model of optimal execution under transient…

Dealers in foreign exchange markets provide bid and ask prices to their clients at which they are happy to buy and sell, respectively. To manage risk, dealers can skew their quotes and hedge in the interbank market. Hedging offers certainty…

We consider the general problem of a set of agents trading a portfolio of assets in the presence of transient price impact and additional quadratic transaction costs and we study, with analytical and numerical methods, the resulting Nash…

Assignment games represent a tractable yet versatile model of two-sided markets with transfers. We study the likely properties of the core of randomly generated assignment games. If the joint productivities of every firm and worker are…

This work is concerned with the application of game theoretic principles to model competition between demand response aggregators for selling excess energy stored in electrochemical storage devices directly to other aggregators in a power…

We propose a two-layer stochastic game model to study reinsurance contracting and competition in a market with one insurer and two competing reinsurers. The insurer negotiates with both reinsurers simultaneously for proportional reinsurance…

When opposing parties compete for a prize, the sunk effort players exert during the conflict can affect the value of the winner's reward. These spillovers can have substantial influence on the equilibrium behavior of participants in…

We propose a continuous-time model of trading with heterogeneous beliefs. Risk-neutral agents face quadratic costs-of-carry on positions and thus their marginal valuations decrease with the size of their position, as it would be the case…

In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders getting to be influenced by the other traders' investment attitudes…

Motivated by the emergence of local groundwater exchanges, we construct and analyze stochastic models of dynamic groundwater markets. Our primary focus is endogenizing the price formation and groundwater pumping strategies in a closed…

Auctions in which agents' payoffs are random variables have received increased attention in recent years. In particular, recent work in algorithmic mechanism design has produced mechanisms employing internal randomization, partly in…

In the traditional game-theoretic set up, where agents select actions and experience corresponding utilities, an equilibrium is a configuration where no agent can improve their utility by unilaterally switching to a different action. In…

We study whether zero-sum decision rules, maximin and minimax, harm agents' interests in positive-sum strategic environments relative to Nash equilibrium behavior or, more generally, than best response behaviour. Contrary to an influential…

The growing integration of renewable energy sources necessitates adequate reserve capacity to maintain power balance. However, in market clearing, power companies with flexible resources may submit strategic bids to maximize profits,…

We study the problem of optimally investing in nodes of a social network in a competitive setting, wherein two camps aim to drive the average opinion of the population in their own favor. Using a well-established model of opinion dynamics,…