6
votes
Accepted
Recommendations for a text on game theory in the context of market making?
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 ...
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4
votes
Limit order book modeling based on computational statistics
They are different trends of research
agent based models, and you are right: Michael is a pioneer
point process based models, and I would say that Frederic's book is a reference: Limit Order Books.
...
- 12.5k
3
votes
Accepted
Gaming strategy for "closest number" game
First try to work out the case with 2 players, for that case figure out what Player B does given player A's choice. Given this you can determine the optimal choice for A, that is the choice that ...
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3
votes
Accepted
Game theoretic description of stock market
You should have a look at Mean Field Games (MFG).
Mean Field Game theory studies optimal control problems with infinitely many interacting agents. The solution of the problem is an equilibrium ...
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2
votes
Reference material (EV/ betting game questions) for Quant Hedge Funds Interviews
Here is a list of books I have and like:
Pretty much every puzzle style question I got in any interviews I'd seen before, essentially from reading books like these.
puzzlegrams, pentagram
Simpler ...
- 2,591
2
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Is there a relationship between Risk Neutral Pricing framework and Nash Equilibria?
Risk-Neutral Pricing as a Game-Theoretic Equilibrium
The risk-neutral pricing framework from the Fundamental Theorem of Asset Pricing can be interpreted using game theory, where market participants ...
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2
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Game theory and stochastic calculus
The field you have in mind is covered with differential game theory, and it game birth to Mean Field Games (MFG), the book posted in a comment is certainly the reference: Probabilistic Theory of Mean ...
- 12.5k
2
votes
Accepted
How can a top-of-the book market maker protect itself from exploiting?
In general, having an algorithm's logic based on "best bid" and "best ask" is not robust to manipulation. In general it is better to reason in term of "distance to the ...
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1
vote
How would the following be priced?
If you considered:
2 counterparties and 1 round, payout 95%
In this case, each counterparty has one token and could either buy the token from the other, or sell their token, or do nothing.
All the ...
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1
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Limit order book modeling based on computational statistics
I guess I could give you a far from complete, but good start of researchers who've tried using ML/CS in LOB modeling: Alvaro Cartea, Marcos Lopez de Prado, Sebastian Jaimungal, Dieter Hendricks, Brian ...
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