相关论文: Multiperiod Groundwater Markets
We introduce the problem of groundwater trading, capturing the emergent groundwater market setups among stakeholders in a given groundwater basin. The agents optimize their production, taking into account their available water rights, the…
We develop a tractable equilibrium model for price formation in intraday electricity markets in the presence of intermittent renewable generation. Using stochastic control theory, we identify the optimal strategies of agents with market…
The modelling of modern power markets requires the representation of the following main features: (i) a stochastic dynamic decision process, with uncertainties related to renewable production and fuel costs, among others; and (ii) a…
This paper develops a strategic model of trade between two regions in which, depending on the relation among output, financial resources and transportation costs, the adjustment of prices towards an equilibrium is studied. We derive…
This paper studies the dynamic pricing mechanism for data products in demand-driven markets through a game-theoretic framework. We develop a three-tier Stackelberg game model to capture the hierarchical strategic interactions among key…
We study optimal behavior of energy producers under a CO_2 emission abatement program. We focus on a two-player discrete-time model where each producer is sequentially optimizing her emission and production schedules. The game-theoretic…
We study continuous time Bertrand oligopolies in which a small number of firms producing similar goods compete with one another by setting prices. We first analyze a static version of this game in order to better understand the strategies…
Agents attempt to maximize expected profits earned by selling multiple units of a perishable product where their revenue streams are affected by the prices they quote as well as the distribution of other prices quoted in the market by other…
We propose a stochastic game modelling the strategic interaction between market makers and traders of optimal execution type. For traders, the permanent price impact commonly attributed to them is replaced by quoting strategies implemented…
Having fixed capacities, homogeneous products and price sensitive customer purchase decision are primary distinguishing characteristics of numerous revenue management systems. Even with two or three rivals, competition is still highly…
In this paper, the problem of smart grid energy management under stochastic dynamics is investigated. In the considered model, at the demand side, it is assumed that customers can act as prosumers who own renewable energy sources and can…
We define and study a lending game to model the interbank money market, in which lending banks strategically allocate their cash to borrowing banks. The interest rate offered by each borrowing bank is within the interest rate corridor set…
We analyze a market impact game between $n$ risk averse agents who compete for liquidity in a market impact model with permanent price impact and additional slippage. Most market parameters, including volatility and drift, are allowed to…
This paper presents a multi-agent reinforcement learning algorithm to represent strategic bidding behavior in freight transport markets. Using this algorithm, we investigate whether feasible market equilibriums arise without any central…
Building on the macroscopic market making framework as a control problem, this paper investigates its extension to stochastic games. In the context of price competition, each agent is benchmarked against the best quote offered by the…
We study nonzero-sum stochastic switching games. Two players compete for market dominance through controlling (via timing options) the discrete-state market regime $M$. Switching decisions are driven by a continuous stochastic factor $X$…
Even when confronted with the same data, agents often disagree on a model of the real-world. Here, we address the question of how interacting heterogenous agents, who disagree on what model the real-world follows, optimize their trading…
We consider a one-sided assignment market or exchange network with transferable utility and propose a model for the dynamics of bargaining in such a market. Our dynamical model is local, involving iterative updates of 'offers' based on…
In this paper, we study the Nash dynamics of strategic interplays of n buyers in a matching market setup by a seller, the market maker. Taking the standard market equilibrium approach, upon receiving submitted bid vectors from the buyers,…
The aim of this paper is to formulate and study a stochastic model for the management of environmental assets in a geographical context where in each place the local authorities take their policy decisions maximizing their own welfare,…