A bidding game with heterogeneous players (Q481066): Difference between revisions
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The authors model a one-sided limit order book as a noncooperative game for several players having different payoff functions and offering various quantities of an asset at different prices competing to fulfill an incoming order, whose size is not known a priori. In a previous paper, the existence of a Nash equilibrium was established by means of a fixed point argument and in this paper, the main issue discussed is whether this equilibrium can be obtained from the unique solution to a two-point boundary value problem for a suitable system of discontinuous ordinary differential equations. The authors give a positive answer in two cases: when there are exactly two players or when all players assign the same exponential probability distribution to the incoming order. In both cases, the Nash equilibrium is unique and the authors show by a counterexample that these assumptions, in general, cannot be removed. | |||
Property / review text: The authors model a one-sided limit order book as a noncooperative game for several players having different payoff functions and offering various quantities of an asset at different prices competing to fulfill an incoming order, whose size is not known a priori. In a previous paper, the existence of a Nash equilibrium was established by means of a fixed point argument and in this paper, the main issue discussed is whether this equilibrium can be obtained from the unique solution to a two-point boundary value problem for a suitable system of discontinuous ordinary differential equations. The authors give a positive answer in two cases: when there are exactly two players or when all players assign the same exponential probability distribution to the incoming order. In both cases, the Nash equilibrium is unique and the authors show by a counterexample that these assumptions, in general, cannot be removed. / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Pavel Stoynov / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91B25 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91A40 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91A10 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 49K21 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 49J21 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91A07 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6379741 / rank | |||
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Property / zbMATH Keywords | |||
optimality conditions | |||
Property / zbMATH Keywords: optimality conditions / rank | |||
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Property / zbMATH Keywords | |||
discontinuous ODE | |||
Property / zbMATH Keywords: discontinuous ODE / rank | |||
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Property / zbMATH Keywords | |||
optimal pricing strategy | |||
Property / zbMATH Keywords: optimal pricing strategy / rank | |||
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Property / zbMATH Keywords | |||
bidding game | |||
Property / zbMATH Keywords: bidding game / rank | |||
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Nash equilibrium | |||
Property / zbMATH Keywords: Nash equilibrium / rank | |||
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Property / zbMATH Keywords | |||
limit order book | |||
Property / zbMATH Keywords: limit order book / rank | |||
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Property / Wikidata QID | |||
Property / Wikidata QID: Q59263859 / rank | |||
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Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1007/s10957-014-0551-5 / rank | |||
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Property / OpenAlex ID | |||
Property / OpenAlex ID: W2020979913 / rank | |||
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Property / cites work | |||
Property / cites work: Strategic Liquidity Provision in Limit Order Markets / rank | |||
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Property / cites work | |||
Property / cites work: A Stochastic Model for Order Book Dynamics / rank | |||
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Property / cites work | |||
Property / cites work: Optimal Execution in a General One-Sided Limit-Order Book / rank | |||
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Property / cites work | |||
Property / cites work: A Bidding Game in a Continuum Limit Order Book / rank | |||
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Property / cites work | |||
Property / cites work: Discrete Bidding Strategies for a Random Incoming Order / rank | |||
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Property / cites work | |||
Property / cites work: Noncooperative differential games / rank | |||
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Property / cites work | |||
Property / cites work: Q4328564 / rank | |||
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Property / cites work | |||
Property / cites work: Q3994531 / rank | |||
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links / mardi / name | links / mardi / name | ||
Latest revision as of 11:20, 9 July 2024
scientific article
Language | Label | Description | Also known as |
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English | A bidding game with heterogeneous players |
scientific article |
Statements
A bidding game with heterogeneous players (English)
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12 December 2014
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The authors model a one-sided limit order book as a noncooperative game for several players having different payoff functions and offering various quantities of an asset at different prices competing to fulfill an incoming order, whose size is not known a priori. In a previous paper, the existence of a Nash equilibrium was established by means of a fixed point argument and in this paper, the main issue discussed is whether this equilibrium can be obtained from the unique solution to a two-point boundary value problem for a suitable system of discontinuous ordinary differential equations. The authors give a positive answer in two cases: when there are exactly two players or when all players assign the same exponential probability distribution to the incoming order. In both cases, the Nash equilibrium is unique and the authors show by a counterexample that these assumptions, in general, cannot be removed.
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optimality conditions
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discontinuous ODE
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optimal pricing strategy
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bidding game
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Nash equilibrium
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limit order book
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