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: Pavel Stoynov / rank | |||
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Property / Mathematics Subject Classification ID: 91B25 / rank | |||
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Property / Mathematics Subject Classification ID: 91A40 / rank | |||
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Property / Mathematics Subject Classification ID: 91A10 / rank | |||
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Property / Mathematics Subject Classification ID: 49K21 / rank | |||
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Property / Mathematics Subject Classification ID: 49J21 / rank | |||
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Property / Mathematics Subject Classification ID: 91A07 / rank | |||
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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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discontinuous ODE | |||
Property / zbMATH Keywords: discontinuous ODE / rank | |||
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optimal pricing strategy | |||
Property / zbMATH Keywords: optimal pricing strategy / rank | |||
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bidding game | |||
Property / zbMATH Keywords: bidding game / rank | |||
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Nash equilibrium | |||
Property / zbMATH Keywords: Nash equilibrium / rank | |||
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limit order book | |||
Property / zbMATH Keywords: limit order book / rank | |||
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Revision as of 20:18, 30 June 2023
scientific article
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English | A bidding game with heterogeneous players |
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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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