6 papers
Potential Games on Unimodular Random Graphs
Eyal Neuman, Sturmius Tuschmann
We study potential games on unimodular random graphs of bounded degree, where players interact through the underlying network. Using the unimodular measure, we define a well-posed…
Stochastic Games on Large Sparse Graphs
Eyal Neuman, Sturmius Tuschmann
We introduce a framework for stochastic games on large sparse graphs, covering continuous-time and discrete-time dynamic games as well as static games. Players are indexed by the v…
Nonparametric Estimation of Self- and Cross-Impact
Natascha Hey, Eyal Neuman, Sturmius Tuschmann
We introduce an offline nonparametric estimator for concave multi-asset propagator models based on a dataset of correlated price trajectories and metaorders. Compared to parametric…
Stochastic Graphon Games with Interventions
Eyal Neuman, Sturmius Tuschmann
We consider a class of targeted intervention problems in dynamic network and graphon games. First, we study a general dynamic network game in which players interact over a graph an…
Fredholm Approach to Nonlinear Propagator Models
Eduardo Abi Jaber, Alessandro Bondi, Nathan De Carvalho +2
We formulate and solve an optimal trading problem with alpha signals, where transactions induce a nonlinear transient price impact described by a general propagator model, includin…
Stochastic Graphon Games with Memory
Eyal Neuman, Sturmius Tuschmann
We study finite-player dynamic stochastic games with heterogeneous interactions and non-Markovian linear-quadratic objective functionals. We derive the Nash equilibrium explicitly…