Questions tagged [game-theory]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
0 votes
0 answers
34 views

Risk aversion and inter dependency in finance

In almost all papers that I read in quantitative finance trying to model a situation where several financial agents interact the distribution of the individual risk aversion is considered as ...
coboy's user avatar
  • 145
2 votes
1 answer
1k views

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 ...
Anon's user avatar
  • 121
1 vote
1 answer
194 views

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 ...
Xu Shan's user avatar
  • 147
1 vote
1 answer
303 views

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 ...
kandi's user avatar
  • 45
0 votes
1 answer
222 views

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 ...
user2520938's user avatar
1 vote
1 answer
513 views

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: ...
mkultra's user avatar
  • 278
1 vote
0 answers
90 views

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 ...
Nav89's user avatar
  • 173
0 votes
1 answer
594 views

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. ...
Hunger Learn's user avatar
1 vote
0 answers
127 views

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 ...
riemannfanboy's user avatar
1 vote
2 answers
475 views

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 ...
mr_bovo's user avatar
  • 11
0 votes
0 answers
54 views

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 ...
maplemaple's user avatar
4 votes
1 answer
2k views

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 ...
qwerty_uiop's user avatar
0 votes
1 answer
960 views

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 ...
divyanshu kumar's user avatar
28 votes
0 answers
660 views

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 $Q-$ ...
Ali Fathi's user avatar
  • 411
2 votes
0 answers
286 views

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 ...
Anonymous's user avatar
  • 415
0 votes
1 answer
103 views

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 ...
Julio César Guzmán Villanueva's user avatar
3 votes
1 answer
255 views

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. ...
SBF's user avatar
  • 2,623