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I am looking for a textbook that can give me an introduction to game theory, and also practice problems that can help me build skills to tackle game theory questions.

I'm asking this in the context of market making: I am planning on interviewing with prop trading firms, and these firms tend to ask market making games or card games which have that game theoretic angle to it.

I did search for books, but I could only find large reference texts which are more suitable for someone with PhD level course/research in mind. Would be great if you could help me out. Thanks.

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This book sounds like exactly what you want: Gaming the Market: Applying Game Theory to Create Winning Trading Strategies by Ronald Shelton. It is written from a traders' point of view rather than a quant's.

I also found this old paper very helpful: A Game Theory Analysis of Options: Contributions to the Theory of Financial Intermediation in Continuous Time by Alexandre Ziegler.

Edit: I noticed a new version of Ziegler's book https://www.springer.com/gp/book/9783540206682

This recent book may is a little on the math side, and probably has too much math for your purposes, but is an excllent game-theoretic approach to option trading: Game-theoretic foundations for probability and finance by Glenn Shafer and Vladimir Vovk. (it's an updated version of their old "Probability and Finance: It's only a game")

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  • $\begingroup$ Thanks a lot for replying. Any idea where I can find the first book? I was able to get my hands on the latter 2 but not the 1st. Ronald Shelton's book looks very relevant to what I'm looking for. $\endgroup$
    – qwerty_uiop
    Jun 21, 2020 at 12:21
  • $\begingroup$ Goog question! There doesn't seem to be a free pdf scan of Shelton's 1997 book on Torrent :) google.com/books/edition/Gaming_the_Market/Fl63ypuHdFEC Google books shows a preview of some pages. wiley.com/en-us/… Wiley offers hardcover paper version for $\$$75 , no download . Amazon (link in the answer) offers it for $\$$55. I see 19 hits on abebooks.com in about the same price range. $\endgroup$
    – Dimitri Vulis
    Jun 21, 2020 at 13:34

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