Game-theoretic papers model what happens when the other traders also optimize: mean-field games for many small agents liquidating or market-making at once, Stackelberg models of a leader and followers (exchange and traders, insurer and insured), auction theory for market design, and cooperative allocation of risk or cost. The mathematics overlaps heavily with stochastic control; the economics is about equilibrium rather than a single optimizer.
What to check when reading. These are mostly theoretical contributions and should be judged on the clarity and novelty of the equilibrium, not on backtests. Where a paper claims empirical content, look for a prediction that could fail (crowding effects in execution costs, specific bid-shading patterns in auction data) and a test against observed data. Mean-field approximations also need a statement about how many agents are “many” for the limit to be a useful description.
We propose \textit{OpenAlpha}, a community-led strategy validation framework for decentralised capital management on a host blockchain network, which integrates game-theoretic validation, adversarial auditing, and market-based belief aggregation. This work formulates treasury deployment as a capital
A complete description of taxation systems that ensure sustainable economic development is given. These tax systems depend on production technologies and gross output volumes. Explicit formulas for such dependencies are found. In a sustainable economy, the value added either exceeds or is strictly l
Since 2016 the operation of insurance companies in the European Union is regulated by the Solvency II directive. According to the EU directive the capital requirement should be calculated as a 99.5% of Value at Risk. In this study, we examine the impact of this capital requirement constraint on equ
We extend the limited participation model in Basak and Cuoco (1998) to allow for traders with different time-preference coefficients but identical constant relative risk-aversion coefficients. Our main result gives parameter restrictions which ensure the existence of a Radner equilibrium. As an appl
We study optimal execution in markets with transient price impact in a competitive setting with $N$ traders. Motivated by prior negative results on the existence of pure Nash equilibria, we consider randomized strategies for the traders and whether allowing such strategies can restore the existence
The efficient market hypothesis (EMH) famously stated that prices fully reflect the information available to traders. This critically depends on the transfer of information into prices through trading strategies. Traders optimise their strategy with models of increasing complexity that identify the
In this paper we study a class of HJB equations which solve for equilibria for general time-inconsistent deterministic linear quadratic control problems within the intra-personal game theoretic framework, where the inconsistency arises from non-exponential discount functions. We characterize the sol
We consider a competitive market with risk-averse participants. We assume that agents’ risks are measured by coherent risk measures introduced by Artzner et al. (1999). Fundamental theorems of welfare economics have long established the equivalence of competitive equilibria and system welfare optimi
This article extends, in a stochastic setting, previous results in the determination of feasible exchange ratios for merging companies. A first outcome is that shareholders of the companies involved in the merging process face both an upper and a lower bounds for acceptable exchange ratios. Secondly
The Ricardian model of world trade based on comparative advantage is not sufficient to justify equal trade relations.The existing model of trade relations does not explain the distribution of income among trading countries. This paper presents a method for building equitable trade relations. Its ess
This paper analyzes the 1/3 Financial Rule, a method of allocating income equally among debt repayment, savings, and living expenses. Through mathematical modeling, game theory, behavioral finance, and technological analysis, we examine the rule’s potential for supporting household financial stabili
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 requisite water consumption, and the opportunity to trade wat
We prove that a two-cycle equilibrium in a general equilibrium model with infinitely-lived agents (GEILA) constitutes an equilibrium in an overlapping generations (OLG) model. Conversely, an equilibrium in an OLG model that satisfies additional conditions is part of an equilibrium in a GEILA model.
The Nobel-price winning Mirrlees’ theory of optimal taxation inspired a long sequence of research on its refinement and enhancement. However, an issue of concern has been always the fact that, as was shown in many publications, the optimal schedule in Mirrlees’ paradigm of maximising the total utili
We present a new type of game, the Liquidity Game. We draw inspiration from the UK government bond market and apply game theoretic approaches to its analysis. In Liquidity Games, market participants (agents) use non-cooperative games where the players’ utility is directly defined by the liquidity of
Experimental results on market behavior establish a lower stability and efficiency of markets for durable re-tradable assets compared to markets for non-durable, or perishable, goods. In this chapter, we revisit this known but underappreciated dichotomy of goods in the light of our theory of competi
Market microstructure studies how trading rules turn orders into prices and allocations. Those rules have been rebuilt repeatedly: for floor traders, electronic limit order books and high-frequency trading, batch auctions and dark pools, blockchains run by automated market makers and block builders,
Standard real options theory predicts delay in exercising the option to invest or deploy when extreme asset volatility or technological uncertainty are present. However, in the current race to develop artificial general intelligence (AGI), sovereign actors are exhibiting behaviors contrary to theore
We derive a slippage-aware toxicity condition for on-chain liquidations executed via a constant-product automated market maker (CP-AMM). For a fixed (constant) liquidation incentive $i$, the familiar toxicity frontier $ν< 1/(1+i)$ tightens to $ν< 1/((1+i)λ)$ for a liquidity penalty factor $λ$ that w
This paper expands on the concepts presented in Applying the Nash Bargaining Solution for a Reasonable Royalty ( arXiv:2005.10158 ). The goal is to refine the process for determining a reasonable royalty using statistical methods in cases where there is risk and uncertainty regarding each party’s di
The Behrens-Feichtinger model provides a deterministic picture for the co-evolution of sales of two firms, producing the same goods and competing in a common market. The model involves an active investment strategy such that the temporary investment of each of the two firms depends on its relative p
The Proof of Efficient Liquidity (PoEL) protocol, designed for specialised Proof of Stake (PoS) consensus-based blockchains that incorporate intrinsic DeFi applications, aims to support sustainable liquidity bootstrapping and network security. This concept seeks to efficiently utilise budgeted staki
In economics, there are many ways to describe the interaction between a “seller” and a “buyer”. The most common one, with which we interact almost every day, is selling for a fixed price. This option is perfect for selling a mass product, when we have a number of sellers and many buyers, and the pri
The Sleeping Beauty problem is a problem of imperfect recall that has received considerable attention. One approach to solving the Sleeping Beauty problem is to allow Sleeping Beauty to make decisions based on her beliefs, and then characterize what it takes for her decisions to be “rational”. In pa
This whitepaper introduces RIV Coin, a cryptocurrency that is fully stabilized by a diversified portfolio of invested reserves that are evaluated by professional independent third parties, and auditable and provable by the protocol. It is born and managed as a decentralized token, minted by a Decent
This paper integrates Austrian capital theory with repeated game theory to examine strategic miner behaviour under different institutional conditions in blockchain systems. It shows that when protocol rules are mutable, effective time preference rises, undermining rational long-term planning and coo
Many experts believe that AI systems will sooner or later pose uninsurable risks, including existential risks. This creates an extreme judgment-proof problem: few if any parties can be held accountable ex post in the event of such a catastrophe. This paper proposes a novel solution: a government-pro
This paper explores the journey of AI in finance, with a particular focus on the crucial role and potential of Explainable AI (XAI). We trace AI’s evolution from early statistical methods to sophisticated machine learning, highlighting XAI’s role in popular financial applications. The paper undersco
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