?
Теоретико-игровая модель биржевых торгов со случайным моментом раскрытия инсайдерской информации
С. 8358–8362.
The paper considers a game-theoretical model of bidding with asymmetric information. One player has the inside information on the liquidation price of risky asset. The model is formalized with the repeated game with incomplete information on the side of uninformed player. We consider the case of external stopping of the game at the random moment. Insider's expected profit in the game of random duration if she applies the strategy optimal in infinite-stage game is obtained. This result allows to calculate the loss of insider in case of sudden disclosure of his private information.
In book
М.: Институт проблем управления им. В.А. Трапезникова РАН, 2014.
Iskyandyarov R., Гришина О. А., Вестник Российского экономического университета им. Г.В. Плеханова 2018 № 2 С. 4–10
Present day exchange trade using computer algorithm (or high frequency robots) that can make independent trade decisions and function without man’s involvement is becoming quite usual. Intensive technological upgrading of finance markets fostered the development of high-frequency trade, thus ways of conducting trade transactions were transformed. In line with technology development the speed of transactions ...
Added: February 19, 2023
Susin I., Chernov G. V., AlterEconomics (ранее - Журнал экономической теории) 2018 № 3 С. 408–419
Классическая теория обучения в повторяющихся играх рассматривает обучение как реакцию на успех или неуспех конкретного выбора в предыдущих периодах игры. Однако на практике возможны и другие правила обучения: например, люди могут подмечать характерные регулярности в поведении оппонента и предсказывать на их основе его дальнейшее поведение. Мы изучаем успешность обучения в соответствии с правилами этого последнего ...
Added: October 26, 2018
Kreps V. L., Математическая теория игр и ее приложения 2017 Т. 9 № 3 С. 3–35
With the help of a simplified model of multistage bidding with asymmetrically informed agents De Meyer and Saley demonstrate an idea of endogenous origin of Brownian component in the evolution of prices on stock markets: random price fluctuations may originate from strategic randomization of "insiders". The model is reduced to a repeated game with incomplete ...
Added: October 17, 2017
Sandomirskiy F., Dynamic Games and Applications 2018 Vol. 8 No. 1 P. 180–198
We consider repeated zero-sum games with incomplete information on the side of Player 2 with the total payoff given by the non-normalized sum of stage gains. In the classical examples the value of such an N-stage game is of the order of N or of square root of N, as N tends to infinity. Our aim is to find ...
Added: March 13, 2017
Sandomirskiy F., / NRU Higher School of Economics. Series EC "Economics". 2016. No. 148.
We consider repeated zero-sum games with incomplete information on the side of Player 2 with the total payoff given by the non-normalized sum of stage gains. In the classical examples the value of such an N-stage game is of the order of N or of square root of N, as N tends to infinity. Our ...
Added: September 1, 2016
Sandomirskiy F., / Series arXiv:1509.01727 "Computer Science". 2015.
We consider repeated zero-sum games with incomplete information on the side of Player2 with the total payoff given by the non-normalized sum of stage gains. In the classical examples the value of such N-stage game is of the order of N or square root of N as N tends to infinity. Our aim is to present a general ...
Added: December 28, 2015
Kreps V. L., Domansky V. C., Contributions to Game Theory and Management 2014 Vol. 8 P. 21–34
We consider multistage bidding models where several types of risky assets (shares) are traded between two agents that have different information on the liquidation prices of traded assets. These random prices depend on “a state of nature”, that is determined by the initial chance move according to a probability distribution that is known to both ...
Added: December 4, 2015
Sandomirskaia M., International Game Theory Review 2017 Vol. 19 No. 1 P. 1650017-1–1650017-7
We consider the repeated zero-sum bidding game with incomplete information on one side with non-normalized total payoff. De Meyer, Marino (2005) and Domansky, Kreps (2005) investigated a game $G_n$ modeling multistage bidding with asymmetrically informed agents and proved that for this game $V_n$ converges to a finite limit $V_\infty$, i.e., the error term is $O(1)$. ...
Added: November 24, 2015
Sandomirskiy F., International Journal of Game Theory 2014 Vol. 43 No. 4 P. 767–789
The famous theorem of R.Aumann and M.Maschler states that the sequence of values of an N-stage zero-sum game G_N with incomplete information on one side converges as N tends to infinity, and the error term is bounded by a constant divided by square root of N if the set of states K is finite. The ...
Added: October 23, 2015
Вариация мартингалов со значениями в вероятностных мерах и повторяющиеся игры с неполной информацией
Sandomirskiy F., Доклады Российской академии наук. Математика, информатика, процессы управления (ранее - Доклады Академии Наук. Математика) 2012 Т. 447 № 3 С. 274–276
При помощи связи между повторяющимися играми с неполной информацией и задачами о максимальной вариации мерозначных мартингалов исследуется максимальная скорость роста значения повторяющихся игр с числом повторений, в случае, если множестов состояний в игре бесконечно. ...
Added: October 23, 2015
Байрашев В. Р., В кн.: Государственные и муниципальные закупки – 2014. Сборник докладов.: М.: Юриспруденция, 2014. С. 397–404.
Обсуждаются биржевые торги и электронные аукционы в аспекте возможностей перехода к проведению закупок в электронной форме ...
Added: January 15, 2015
Selivanovskiy A., Сенюк Г. В., Хозяйство и право 2014 № 10 С. 20–36
Presented in the article analysis of novels of the revised edition of the Chapter 7 of the Civil Code of RF from October 1, 2013 in the field of securities’ law shows us that the reform focused on form rather than on substance. The question about genuine belonging of a right on an uncertificated security ...
Added: October 27, 2014
Sandomirskaia M., Domansky V. C., , in: Contributions to game theory and managementIssue 5.: St. Petersburg: Graduate School of Management, St. Petersburg University, 2012. P. 268–285.
We investigate a model of one-stage bidding between two differently informed stockmarket agents for a risky asset (share). The random liquidation price of a share may take two values: the integer positive m with probability p and 0 with probability 1−p. Player 1 (insider) is informed about the price, Player 2 is not. Both players know the probability p. Player 2 knows that Player 1 ...
Added: October 20, 2014
Sandomirskaia M., Управление большими системами: сборник трудов 2014 № 49 С. 207–234
The model of multistage insider trading between two market agents for one-type risky assets is considered. One of the players (insider) has private information about liquidation value of the asset. At each step of the bidding each player simultaneously proposes bid and ask prices for one share with fixed non-zero spread. The uninformed player uses ...
Added: September 15, 2014