相关论文: Imperfect Oracles: The Effect of Strategic Informa…
Large language models (LLMs) have demonstrated remarkable capabilities in natural language tasks, yet their performance in dynamic, real-world financial environments remains underexplored. Existing approaches are limited to historical…
We initiate the study of the effects of non-transparency in decision rules on individuals' ability to improve in strategic learning settings. Inspired by real-life settings, such as loan approvals and college admissions, we remove the…
We utilize a chartist-fundamentalist model to examine the limits of informationally efficient stock markets. In our model, chartists are permanently active in the stock market, while fundamentalists trade only when their…
In this work, we analyze the influence of a single strategic agent on the quality of the other agents' matchings in a matching market. We consider a stable matching problem with $n$ men and $n$ women when preferences are drawn uniformly…
This paper proposes a theory of stock market predictability patterns based on a model of heterogeneous beliefs. In a discrete finite time framework, some agents receive news about an asset's fundamental value through a noisy signal. The…
The efficient market hypothesis has been considered one of the most controversial arguments in finance, with the academia divided between who claims the impossibility of beating the market and who believes that it is possible to gain over…
In many non-cooperative settings, agents often possess useful information that provide an advantage over their opponent(s), but acting on such information too frequently can lead to detection. I develop a simple framework to analyze such a…
Prediction markets are powerful tools to elicit and aggregate beliefs from strategic agents. However, in current prediction markets, agents may exhaust the social welfare by competing to be the first to update the market. We initiate the…
This paper investigates the optimal hedging strategies of an informed broker interacting with multiple traders in a financial market. We develop a theoretical framework in which the broker, possessing exclusive information about the drift…
We explore the competitive effects of reaction time of automated trading strategies in simulated financial markets containing a single exchange with public limit order book and continuous double auction matching. A large body of research…
How does competition in markets for information affect the creation and division of surplus? We study this question in a search environment in which an agent searches sequentially for a high-quality good and learns about the quality of…
This paper investigates the equilibrium interactions between trading targets and private information in a multi-period Kyle (1985) market. There are two investors who each follow dynamic trading strategies: A strategic portfolio rebalancer…
We consider the impact of incomplete information on incentives for node cooperation in parallel relay networks with one source node, one destination node, and multiple relay nodes. All nodes are selfish and strategic, interested in…
We analyse the strategy equilibrium of dilemma games considering a payoff matrix affected by small and random perturbations on the off-diagonal. Notably, a recent work [1] reported that, while cooperation is sustained by perturbations…
This study examines the impact of different computing implementations of clearing mechanisms on multi-asset price dynamics within an artificial stock market framework. We show that sequential processing of order books introduces a…
We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of…
In this paper, we study the distributed optimization problem using approximate first-order information. We suppose the agent can repeatedly call an inexact first-order oracle of each individual objective function and exchange information…
We develop a theory for the market impact of large trading orders, which we call metaorders because they are typically split into small pieces and executed incrementally. Market impact is empirically observed to be a concave function of…
We investigate the impact of order flow imbalance (OFI) on price movements in equity markets in a multi-asset setting. First, we propose a systematic approach for combining OFIs at the top levels of the limit order book into an integrated…
Algorithmic trading in modern financial markets is widely acknowledged to exhibit strategic, game-theoretic behaviors whose complexity can be difficult to model. A recent series of papers (Chriss, 2024b,c,a, 2025) has made progress in the…