相关论文: Phase Transitions in Kyle's Model with Market Make…

Here, we examine a mean-field game (MFG) that models the economic growth of a population of non-cooperative rational agents. In this MFG, agents are described by two state variables - the capital and consumer goods they own. Each agent…

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…

We characterise the solutions to a continuous-time optimal liquidity provision problem in a market populated by informed and uninformed traders. In our model, the asset price exhibits fads -- these are short-term deviations from the…

We study financial systems from a game-theoretic standpoint. A financial system is represented by a network, where nodes correspond to firms, and directed labeled edges correspond to debt contracts between them. The existence of cycles in…

We present a novel agent-based approach to simulating an over-the-counter (OTC) financial market in which trades are intermediated solely by market makers and agent visibility is constrained to a network topology. Dynamics, such as changes…

In a continuous time stochastic economy, this paper considers the problem of consumption and investment in a financial market in which the representative investor exhibits a change in the discount rate. The investment opportunities are a…

We explore various extensions of Challet and Zhang's Minority Game in an attempt to gain insight into the dynamics underlying financial markets. First we consider a heterogeneous population where individual traders employ differing `time…

We studied non-dynamical stochastic resonance for the number of trades in the stock market. The trade arrival rate presents a deterministic pattern that can be modeled by a cosine function perturbed by noise. Due to the nonlinear…

Volume imbalance in a limit order book is often considered as a reliable indicator for predicting future price moves. In this work, we seek to analyse the nuances of the relationship between prices and volume imbalance. To this end, we…

We study the mechanism design problem of selling $k$ items to unit-demand buyers with private valuations for the items. A buyer either participates directly in the auction or is represented by an intermediary, who represents a subset of…

We consider a sequential decision model over multi-tier supply chain networks and show that in particular, for series parallel networks, there is a unique equilibrium. We provide a linear time algorithm to compute the equilibrium and study…

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,…

Autonomous and learning agents increasingly participate in markets - setting prices, placing bids, ordering inventory. Such agents are not just aiming to optimize in an uncertain environment; they are making decisions in a game-theoretical…

We discuss and solve a model for a game with many players, where a subset of truely deciding players is embedded into a hierarchy of dependent agents. These interdependencies modify the game matrix and the Nash equilibria for the deciding…

In this article we model chaotic dynamics in financial markets by treating the market price, and market makers' inventory, as anharmonic oscillators with a nonlinear coupling. The market makers' risk appetite being the key parameter that…

We propose a price impact model where changes in prices are purely driven by the order flow in the market. The stochastic price impact of market orders and the arrival rates of limit and market orders are functions of the market liquidity…

A simple model of a buying-selling cycle is proposed. The model comprises two moves: a rational buying and a random selling. The notion of a profit intensity is introduced. Supply and demand curves and geometrical interpretation are…

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…

Generative model ecosystems increasingly operate as competitive multi-platform markets, where platforms strategically select models from a shared pool and users with heterogeneous preferences choose among them. Understanding how platforms…

This paper studies a nonzero-sum Dynkin game in discrete time under non-exponential discounting. For both players, there are two levels of game-theoretic reasoning intertwined. First, each player looks for an intra-personal equilibrium…