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

An asymmetric information model is introduced for the situation in which there is a small agent who is more susceptible to the flow of information in the market than the general market participant, and who tries to implement strategies…

This paper studies the equilibrium price of an asset that is traded in continuous time between N agents who have heterogeneous beliefs about the state process underlying the asset's payoff. We propose a tractable model where agents maximize…

We study a continuous-time version of the intermediation model of Grossman and Miller (1988). To wit, we solve for the competitive equilibrium prices at which liquidity takers' demands are absorbed by dealers with quadratic inventory costs,…

This paper analyzes a class of Stackelberg games where different actors compete for shared resources and a central authority tries to balance the demand through a pricing mechanism. Situations like this can for instance occur when fleet…

We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are characterised by a system of nonlinear, fully-coupled…

We study bilateral trade with interdependent values as an informed-principal problem. The mechanism-selection game has multiple equilibria that differ with respect to principal's payoff and trading surplus. We characterize the equilibrium…

This paper studies the equilibrium pricing of asset shares in the presence of dynamic private information. The market consists of a risk-neutral informed agent who observes the firm value, noise traders, and competitive market makers who…

This paper proposes a peer-to-peer energy trading scheme that can help the centralized power system to reduce the total electricity demand of its customers at the peak hour. To do so, a cooperative Stackelberg game is formulated, in which…

The study of repeated interactions between a learner and a utility-maximizing optimizer has yielded deep insights into the manipulability of learning algorithms. However, existing literature primarily focuses on independent, unlinked…

We study partial information Nash equilibrium between a broker and an informed trader. In this setting, the informed trader, who possesses knowledge of a trading signal, trades multiple assets with the broker in a dealer market.…

The objective of this paper is to introduce the theory of option pricing for markets with informed traders within the framework of dynamic asset pricing theory. We introduce new models for option pricing for informed traders in complete…

In this paper, the problem of energy trading between smart grid prosumers, who can simultaneously consume and produce energy, and a grid power company is studied. The problem is formulated as a single-leader, multiple-follower Stackelberg…

As e-commerce marketplaces continue to grow in popularity, it has become increasingly important to understand the role and impact of marketplace operators on competition and social welfare. We model a marketplace operator as an entity that…

We construct an empirically founded model of a repo trade intermediated by two broker-dealers and prove multiple equilibrium and the existence of equilibrium at the joint profit maximizing volume of trade. We then present a smart contract…

We propose a market designed using game theory to optimally utilize the flexibility of distributed energy resources (DERs) like solar, batteries, electric vehicles, and flexible loads. Market agents perform multiperiod optimization to…

We study a multi-player stochastic differential game, where agents interact through their joint price impact on an asset that they trade to exploit a common trading signal. In this context, we prove that a closed-loop Nash equilibrium…

We propose a static equilibrium model for limit order book where profit-maximizing investors receive an information signal regarding the liquidation value of the asset and execute via a competitive dealer with random initial inventory, who…

This paper considers the problem of how to allocate power among competing users sharing a frequency-selective interference channel. We model the interaction between selfish users as a non-cooperative game. As opposed to the existing…

We consider a trading marketplace that is populated by traders with diverse trading strategies and objectives. The marketplace allows the suppliers to list their goods and facilitates matching between buyers and sellers. In return, such a…

We consider a seller faced with buyers which have the ability to delay their decision, which we call patience. Each buyer's type is composed of value and patience, and it is sampled i.i.d. from a distribution. The seller, using posted…