相关论文: Liquidity Competition Between Brokers and an Infor…

This paper aims to balance performance and cost in a two-hop wireless cooperative communication network where the source and relays have contradictory optimization goals and make decisions in a distributed manner. This differs from most…

In many settings, multiple uninformed agents bargain simultaneously with a single informed agent in each of multiple periods. For example, workers and firms negotiate each year over salaries, and the firm has private information about the…

We study information disclosure in competitive markets with adverse selection. Sellers privately observe product quality, with higher quality entailing higher production costs, while buyers trade at the market-clearing price after observing…

The possibility of latency arbitrage in financial markets has led to the deployment of high-speed communication links between distant financial centers. These links are noisy and so there is a need for coding. In this paper, we develop a…

We present a simple dynamic equilibrium model for an online exchange where both buyers and sellers arrive according to a exogenously defined stochastic process. The structure of this exchange is motivated by the limit order book mechanism…

We propose a method to infer lead-lag networks of traders from the observation of their trade record as well as to reconstruct their state of supply and demand when they do not trade. The method relies on the Kinetic Ising model to describe…

This paper is devoted to a high-dimensional mixed leadership stochastic differential game on a finite horizon in feedback information mode, where the control variables enter into the diffusion term of state equation. A verification theorem…

Although both data availability and the demand for accurate forecasts are increasing, collaboration between stakeholders is often constrained by data ownership and competitive interests. In contrast to recent proposals within cooperative…

This paper presents a comprehensive analytical study of two competitive cognitive operators' spectrum leasing and pricing strategies, taking into account operators' heterogeneity in leasing costs and users' heterogeneity in transmission…

We consider portfolio selection under nonparametric $\alpha$-maxmin ambiguity in the neighbourhood of a reference distribution. We show strict concavity of the portfolio problem under ambiguity aversion. Implied demand functions are…

In this paper we explore optimal liquidation in a market populated by a number of heterogeneous market makers that have limited inventory-carrying and risk-bearing capacity. We derive a reduced form model for the dynamic of their aggregated…

Truckload brokerages, a $100 billion/year industry in the U.S., plays the critical role of matching shippers with carriers, often to move loads several days into the future. Brokerages not only have to find companies that will agree to move…

Resource competition problems are often modeled using Colonel Blotto games, where players take simultaneous actions. However, many real-world scenarios involve sequential decision-making rather than simultaneous moves. To model these…

Automated market makers (AMMs) allocate fee revenue \textit{proportional} to the amount of liquidity investors deposit. In this paper, we study the economic consequences of the competition between passive liquidity providers (LPs) caused by…

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 this paper, we propose an equilibrium pricing model in a dynamic multi-period stochastic framework with uncertain income streams. In an incomplete market, there exist two traded risky assets (e.g. stock/commodity and weather derivative)…

I consider an environment in which a decision maker faces uncertainty and privately holds information in the form of a signal about the true state of the world. The decision maker purchases additional information from a data broker before…

We study information elicitation in cost-function-based combinatorial prediction markets when the market maker's utility for information decreases over time. In the sudden revelation setting, it is known that some piece of information will…

Prediction markets provide an efficient means to assess uncertain quantities from forecasters. Traditional and competitive strictly proper scoring rules have been shown to incentivize players to provide truthful probabilistic forecasts.…

Data is the central commodity of the digital economy. Unlike physical goods, it is non-rival, replicable at near-zero cost, and traded under heterogeneous licensing rules. These properties defy standard supply--demand theory and call for…