Questions tagged [game-theory]
The game-theory tag has no usage guidance.
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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 ...
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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 ...
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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 ...
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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 ...
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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:
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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 ...
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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. ...
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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 ...
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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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How can I know the distribution of how many shares were bought in specific price?
Given a stock and any time $t$, is there a way to find the distribution $f_t$
$$f_t: \text{price}\ p \rightarrow \text{in current time $t$, how many shares were bought in price $p$}$$
For example, a ...
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Recommendations for a text on game theory in the context of market making?
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 ...
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Reference material (EV/ betting game questions) for Quant Hedge Funds Interviews [closed]
I need material to practice EV games questions.But I lack practice in betting questions where a set-up of a game is given and one has to respond to the best strategy or best bet to take. A good book ...
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Is there a relationship between Risk Neutral Pricing framework and Nash Equilibria?
Based on the Fundamental Theorem of Asset Pricing, the risk neutral price of a contingent claim on an asset in a liquid, arbitrage free market can be determined by switching to an equivalent $Q-$ ...
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Game theory and antagonistic games in trading
In one of the topic here, particularly in the comments, i saw a link to the page describing connection between Antagonistic Games and finances but i cannot find it now and would appreciate if somebody ...
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Making portfolios better than others for a 16 week portfolio game? [closed]
I'm going to participate in a game of making portfolios. The objective of the game is to make the portfolio with the bigger ROI over 16 weeks. Over each week every player can see the ROI of each ...
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Particular kind of market game
This question concerns game theory and market equilibria which is rarely of focus here at QSE, but at the same time I believe this is a more appropriate place for such question rather than MSE.
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