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

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…

We provide a general approach to reformulating any continuous-time stochastic Stackelberg differential game under closed-loop strategies as a single-level optimisation problem with target constraints. More precisely, we consider a…

We propose a two-layer stochastic game model to study reinsurance contracting and competition in a market with one insurer and two competing reinsurers. The insurer negotiates with both reinsurers simultaneously for proportional reinsurance…

This paper addresses the trade-off between internalisation and externalisation in the management of stochastic trade flows. We consider agents who must absorb flows and manage risk by deciding whether to warehouse it or hedge in the market,…

We study sequential multi-issue trading between two greedily rational agents who exchange resources from a finite set of categories. Each agent's utility depends on its allocation, but the offering agent does not know the responding agent's…

This paper develops a mathematical framework for building a position in a stock over a fixed period of time while in competition with one or more other traders doing the same thing. We develop a game-theoretic framework that takes place in…

This paper studies Markov perfect equilibria in a repeated duopoly model where sellers choose algorithms. An algorithm is a mapping from the competitor's price to own price. Once set, algorithms respond quickly. Customers arrive randomly…

We formulate an equilibrium model of intraday trading in electricity markets. Agents face balancing constraints between their customers consumption plus intraday sales and their production plus intraday purchases. They have continuously…

We study Stackelberg equilibria in finitely repeated games, where the leader commits to a strategy that picks actions in each round and can be adaptive to the history of play (i.e. they commit to an algorithm). In particular, we study…

In the ever evolving landscape of decentralized finance automated market makers (AMMs) play a key role: they provide a market place for trading assets in a decentralized manner. For so-called bluechip pairs, arbitrage activity provides a…

We introduce a system of kinetic equations describing an exchange market consisting of two populations of agents (dealers and speculators) expressing the same preferences for two goods, but applying different strategies in their exchanges.…

We introduce \textsc{Cattle Trade, a multi-agent benchmark for evaluating large language models (LLMs) as agents in strategic reasoning under imperfect information, adversarial interaction, and resource constraints. The benchmark combines…

In financial trading, large language model (LLM)-based agents demonstrate significant potential. However, the high sensitivity to market noise undermines the performance of LLM-based trading systems. To address this limitation, we propose a…

We study payoff manipulation in repeated multi-objective Stackelberg games, where a leader may strategically influence a follower's deterministic best response, e.g., by offering a share of their own payoff. We assume that the follower's…

Dealers make money by providing liquidity to clients but face flow uncertainty and thus price risk. They can efficiently skew their prices and wait for clients to mitigate risk (internalization), or trade with other dealers in the open…

This paper studies a communication game between an uninformed decision maker and two perfectly informed senders with conflicting interests. Senders can misreport information at a cost that increases with the size of the misrepresentation.…

In this paper, the optimal pricing strategy in Avellande-Stoikov's for a monopolistic dealer is extended to a general situation where multiple dealers are present in a competitive market. The dealers' trading intensities, their optimal bid…

We consider a continuous-time financial market that consists of securities available for dynamic trading, and securities only available for static trading. We work in a robust framework where a set of non-dominated models is given. The…

In multi-agent problems requiring a high degree of cooperation, success often depends on the ability of the agents to adapt to each other's behavior. A natural solution concept in such settings is the Stackelberg equilibrium, in which the…

We consider the practical and classical setting where the seller is using an exploration stage to learn the value distributions of the bidders before running a revenue-maximizing auction in a exploitation phase. In this two-stage process,…