相关论文: The Volatility of Returns and Variable Strategies

We recall a combinatorial derivation of the functions generating probability of winnings for each of many participants of the Penney's game and show a generalization of the Conway's formula to this case.

The purpose of this work is to explore the role that arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary…

In this paper, we address one of the main puzzles in finance observed in the stock market by proponents of behavioral finance: the stock predictability puzzle. We offer a statistical model within the context of rational finance which can be…

We consider the repeated prisoner's dilemma (PD). We assume that players make their choices knowing only average payoffs from the previous stages. A player's strategy is a function from the convex hull $\mathfrak{S}$ of the set of payoffs…

In many countries poker is one of the most popular card games. Although each variant of poker has its own rules, all involve the use of money to make the challenge meaningful. Nowadays, in the collective consciousness, some variants of…

In a classical chess round-robin tournament, each of $n$ players wins, draws, or loses a game against each of the other $n-1$ players. A win rewards a player with 1 points, a draw with 1/2 point, and a loss with 0 points. We are interested…

In a guessing game, players guess the value of a random real number selected using some probability density function. The winner may be determined in various ways; for example, a winner can be a player whose guess is closest in magnitude to…

The goal of the paper is to introduce a set of problems which we call mean field games of timing. We motivate the formulation by a dynamic model of bank run in a continuous-time setting. We briefly review the economic and game theoretic…

In online betting, the bookmaker can update the payoffs it offers on a particular event many times before the event takes place, and the updated payoffs may depend on the bets accumulated thus far. We study the problem of bookmaking with…

Traffic scenarios are inherently interactive. Multiple decision-makers predict the actions of others and choose strategies that maximize their rewards. We view these interactions from the perspective of game theory which introduces various…

The aim of the strategic analysis is to (simply) carry out the game between the implementing body and possible links to the existing market situation. We are therefore playing a strategic game between us and the outside world. This…

This article considers a mean field game model inspired by crowd motion models in which agents aim at reaching a given target set and wish to minimize a cost consisting of an individual running cost, an individual cost depending on the…

We study a multi-agent decision problem in population games, where agents select from multiple available strategies and continually revise their selections based on the payoffs associated with these strategies. Unlike conventional…

We demonstrate that minority mechanisms arise in the dynamics of markets because of effects of price impact; accordingly the relative importance of minority and delayed majority mechanisms depends on the frequency of trading. We then use…

We study adaptive learning in a typical p-player game. The payoffs of the games are randomly generated and then held fixed. The strategies of the players evolve through time as the players learn. The trajectories in the strategy space…

This note explains why a large class of fair, or reversible "money games", i.e., stochastic models of wealth redistribution among agents, lead to steady states described by canonical and microcanonical distributions. The games considered…

Infinite games where several players seek to coordinate under imperfect information are known to be intractable, unless the information flow is severely restricted. Examples of undecidable cases typically feature a situation where players…

I demonstrate that with the market return determined by the equilibrium returns of the CAPM, expected returns of an asset are affected by the risks of all assets jointly. Another implication is that the range of feasible market returns will…

This paper proposes a modification to Minority Game (MG) by adding some agents who play majority game into MG. So it is referred to as mix-game. The highlight of this model is that the two groups of agents in mix-game have different bounded…

We study a dynamical system defined by a repeated game on a 1D lattice, in which the players keep track of their gross payoffs over time in a bank. Strategy updates are governed by a Boltzmann distribution which depends on the neighborhood…