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

We study a class of two-player repeated games with incomplete information and informational externalities. In these games, two states are chosen at the outset, and players get private information on the pair, before engaging in repeated…

We model the behavior of three agent classes acting dynamically in a limit order book of a financial asset. Namely, we consider market makers (MM), high-frequency trading (HFT) firms, and institutional brokers (IB). Given a prior dynamic of…

We study the dynamic pricing of discrete goods over a finite selling horizon. One way to capture both the elastic and stochastic reaction of purchases to price is through a model where sellers control the intensity of a counting process,…

Data buyers compete in a game of incomplete information about which a single data seller owns some payoff-relevant information. The seller faces a joint information- and mechanism-design problem: deciding which information to sell, while…

A new simple model of financial market is proposed, based on the sequential and inter-temporal nature of trader-trader interaction, and on a new simple trading strategy space. In this pattern-based speculation model, the traders open and…

As predictive models are deployed into the real world, they must increasingly contend with strategic behavior. A growing body of work on strategic classification treats this problem as a Stackelberg game: the decision-maker "leads" in the…

We address a new prize-collecting problem of routing commodities in a given network with hub and non-hub nodes, in which the service of the non-hub nodes will be outsourced to third-party carriers. The problem is modeled as a Stackelberg…

This paper focuses on multi-stage coordination for a population of thermostatically controlled loads (TCL). Each load maximizes the individual utility in response to an energy price, while the coordinator determines the price to maximize…

We develop a bidding strategy for a hybrid power plant combining co-located wind turbines and an electrolyzer, constructing a price-quantity bidding curve for the day-ahead electricity market while optimally scheduling hydrogen production.…

We extend the formalism of Conjectural Variations games to Stackelberg games involving multiple leaders and a single follower. To solve these nonconvex games, a common assumption is that the leaders compute their strategies having perfect…

We present a novel, game theoretic representation of a multi-agent prediction market using a partially observable stochastic game with information (POSGI). We then describe a correlated equilibrium (CE)-based solution strategy for this game…

Price impact of a trade is an important element in pre-trade and post-trade analyses. We introduce a framework to analyze the market price of liquidity risk, which allows us to derive an inhomogeneous Bernoulli ordinary differential…

Informed traders need to trade fast in order to profit from their private information before it becomes public. Fast electronic markets provide such liquidity. Slow markets provide execution in an auction based trading floor. Hybrid markets…

Governments are motivated to subsidize profit-driven firms that manufacture zero-emission vehicles to ensure they become price-competitive. This paper introduces a dynamic Stackelberg game to determine the government's optimal subsidy…

Minimizing execution costs for large orders is a fundamental challenge in finance. Firms often depend on brokers to manage their trades due to limited internal resources for optimizing trading strategies. This paper presents a methodology…

Electricity markets differ in their ability to meet power imbalances in short notice in a controlled fashion. Relatively flexible markets have the ability to ramp up (or down) power flows across interties without compromising their ability…

The rapid expansion of digital commerce platforms has amplified the strategic importance of coordinated pricing and inventory management decisions among competing retailers. Motivated by practices on leading e-commerce platforms, we analyze…

We consider continuous-time mean-field stochastic games with strategic complementarities. The interaction between the representative productive firm and the population of rivals comes through the price at which the produced good is sold and…

By utilizing tools from game theory, we develop a novel multi-period-multi-company demand response framework considering the interactions between companies (sellers of energy) and their consumers (buyers of energy). We model the…

This paper considers a non-cooperative game in which competing users sharing a frequency-selective interference channel selfishly optimize their power allocation in order to improve their achievable rates. Previously, it was shown that a…