Questions tagged [game-theory]
The game-theory tag has no summary.
22 questions
0 votes
0 answers
108 views
A potential generalization of Kyle 1985 with a general information structure
I will add my question here as well. It is also posted in eonomicsstack exchange I am trying to think of a way to generalize Kyle's static model of 1985 and then the dynaic of the same paper to many ...
- 141
2 votes
0 answers
149 views
Optimal Strategy in Sequential Gladiator Duels with Probabilistic Outcomes, Colosseum Fight II
I did find this problem on https://www.quantguide.io/questions/colosseum-fight-ii which is as follows: Alice and Bob are in ancient Roman times, each commanding a team of 4 gladiators. Alice’s ...
- 21
0 votes
0 answers
122 views
Questions on Predicion markets and thin markets
I am posting the question below, as a sequel of a previous question that is already posted in here. Thank you in advance. I have some generic question about prediction markets and thin markets. I see ...
- 141
0 votes
0 answers
1k views
Resources for "Game Theoretic" Quant Puzzles
Could I please have some resources that discuss optimal playing strategies in various dice games / card games / casino games and their optimal expected payoffs? I have been encountering many such ...
- 1
2 votes
0 answers
333 views
Game Theory Brainteaser
Seeking help / thought process guidance on the following interview problem, which seems centred on game theory Setup: there’s a number X which we can measure once with error following N(0, 1). We can ...
- 21
0 votes
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93 views
Risk aversion and inter dependency in finance
In almost all papers that I read in quantitative finance trying to model a situation where several financial agents interact the distribution of the individual risk aversion is considered as ...
- 145
3 votes
2 answers
5k views
Market Making Card Sum Game
I am preparing for an interview with a prop trading firm and wanted to discuss potential strategies for the classic market making games. I have seen similar posts on the forum, but a lot of the ...
- 141
1 vote
1 answer
522 views
Gaming strategy for "closest number" game [closed]
Suppose there are 3 people A, B, C and a referee. A, B, C individually takes one number from [0,1] with the order A->B->C. B could see the choice of A, C could see the choice of A and B. After ...
- 147
1 vote
1 answer
529 views
How can a top-of-the book market maker protect itself from exploiting?
Let's consider there is an instrument N traded on a single venue (centralized anonymous limit orderbook). Let's say that most taker orders are tiny, therefore the one who stays at the best bid/offer ...
- 45
0 votes
1 answer
314 views
How would the following be priced?
Suppose we introduce the following: a token S with an initial supply of a 1000. At $t_0$, a 1000 different parties $P_1,\dots,P_{1000}$ each buy a single token for $1$\$. Whoever has the most tokens ...
- 185
1 vote
1 answer
942 views
Game theoretic description of stock market
I read the book "Theory of Games and Economic Behavior" by John von Neumann and Oskar Morgenstern. I think that stock market may be described by game theory. But here are the problems: ...
- 308
1 vote
0 answers
126 views
Mechanism design in continuous time models
I am interested in mechanism design and information design. Is there any part of the literature in financial mathematics that is associated with them. I mean could we bring somehow these topics under ...
- 203
0 votes
1 answer
961 views
Game theory and stochastic calculus
Does anybody know any details of game theory literature combined with stochastic calculus in finance? If yes, please recommend some papers of any authors who are doing exceptional work on the filed. ...
- 203
1 vote
0 answers
170 views
An example that mixes the stock market, game theory and linear programing
First of all i am not entirely sure if this is the correct place to discuss this problem but i shall give it a try. I'm currently doing an assignment for a degree in Linear Programing. My objective ...
- 111
1 vote
2 answers
615 views
Limit order book modeling based on computational statistics
Is someone aware of publications that try to model limit order book (and market mircostructure) in general using CS tools (such as online machine learning, game theory ecc...) and not stochastic ...
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