Search results for " game theory"
showing 10 items of 120 documents
Stock markets and quantum dynamics: A second quantized description
2009
In this paper we continue our description of stock markets in terms of some non-abelian operators which are used to describe the portfolio of the various traders and other observable quantities. After a first prototype model with only two traders, we discuss a more realistic model of market involving an arbitrary number of traders. For both models we find approximated solutions for the time evolution of the portfolio of each trader. In particular, for the more realistic model, we use the stochastic limit approach and a fixed point like approximation. © 2007 Elsevier B.V. All rights reserved
Two-Qubit Pure Entanglement as Optimal Social Welfare Resource in Bayesian Game
2017
Entanglement is of paramount importance in quantum information theory. Its supremacy over classical correlations has been demonstrated in numerous information theoretic protocols. Here we study possible adequacy of quantum entanglement in Bayesian game theory, particularly in social welfare solution (SWS), a strategy which the players follow to maximize the sum of their payoffs. Given a multi-partite quantum state as an advice, players can come up with several correlated strategies by performing local measurements on their parts of the quantum state. A quantum strategy is called quantum-SWS if it is advantageous over a classical equilibrium (CE) strategy in the sense that none of the player…
A Cognitive Tuning of Contention Windows in WiFi Infrastructure Networks
2009
In WiFi networks, mobile nodes compete for accessing a shared channel by means of a random access protocol called Distributed Coordination Function (DCF). Although this protocol is in principle fair, since it should guarantee that all the stations have the same probability to transmit on the channel, it has been shown that unfair behaviors may emerge in actual networking scenarios. These phenomena are due to different reasons, including non-standard configurations of the nodes, critical network topologies, and short-term performance observations. In this paper we propose a game-theoretic approach for defining an enhanced DCF scheme suitable for WiFi intelligent nodes employing cognitive fun…
Robust dynamic cooperative games
2009
Classical cooperative game theory is no longer a suitable tool for those situations where the values of coalitions are not known with certainty. Recent works address situations where the values of coalitions are modelled by random variables. In this work we still consider the values of coalitions as uncertain, but model them as unknown but bounded disturbances. We do not focus on solving a specific game, but rather consider a family of games described by a polyhedron: each point in the polyhedron is a vector of coalitions’ values and corresponds to a specific game. We consider a dynamic context where while we know with certainty the average value of each coalition on the long run, at each t…
A Neo2 bayesian foundation of the maxmin value for two-person zero-sum games
1994
A joint derivation of utility and value for two-person zero-sum games is obtained using a decision theoretic approach. Acts map states to consequences. The latter are lotteries over prizes, and the set of states is a product of two finite sets (m rows andn columns). Preferences over acts are complete, transitive, continuous, monotonie and certainty-independent (Gilboa and Schmeidler (1989)), and satisfy a new axiom which we introduce. These axioms are shown to characterize preferences such that (i) the induced preferences on consequences are represented by a von Neumann-Morgenstern utility function, and (ii) each act is ranked according to the maxmin value of the correspondingm × n utility …
Modeling the coupled return-spread high frequency dynamics of large tick assets
2015
Large tick assets, i.e. assets where one tick movement is a significant fraction of the price and bid-ask spread is almost always equal to one tick, display a dynamics in which price changes and spread are strongly coupled. We introduce a Markov-switching modeling approach for price change, where the latent Markov process is the transition between spreads. We then use a finite Markov mixture of logit regressions on past squared returns to describe the dependence of the probability of price changes. The model can thus be seen as a Double Chain Markov Model. We show that the model describes the shape of return distribution at different time aggregations, volatility clustering, and the anomalo…
Uniform measure density condition and game regularity for tug-of-war games
2018
We show that a uniform measure density condition implies game regularity for all 2 < p < ∞ in a stochastic game called “tug-of-war with noise”. The proof utilizes suitable choices of strategies combined with estimates for the associated stopping times and density estimates for the sum of independent and identically distributed random vectors. peerReviewed
Weighting Elementary Prices in Consumer Price Index Construction Using Spatial Autocorrelation
2013
The Consumer Price Indexes (CPI) are used in current economic systems to measure inflation. When constructing CPIs, however, official institutions have systematically overlooked the spatial dimension of elementary prices. Ignoring the fact that prices are collected at geographical locations implicitly implies considering prices as spatially independent, when in fact they are not. To solve this problem, this article proposes to weight basic price data by taking into account the spatial correlation they display. The weighted geometric and arithmetic means suggested generalize and improve the simple geometric and arithmetic means currently in use.
Achieving Unbounded Resolution inFinitePlayer Goore Games Using Stochastic Automata, and Its Applications
2012
Abstract This article concerns the sequential solution to a distributed stochastic optimization problem using learning automata and the Goore game (also referred to as the Gur game in the related literature). The amazing thing about our solution is that, unlike traditional methods, which need N automata (where N determines the degree of accuracy), in this article, we show that we can obtain arbitrary accuracy by recursively using only three automata. To be more specific, the Goore game (GG) introduced in Tsetlin (1973) has the fascinating property that it can be resolved in a completely distributed manner with no inter-communication between the players. The game has recently found applicati…
Approachability in Population Games
2014
This paper reframes approachability theory within the context of population games. Thus, whilst one player aims at driving her average payoff to a predefined set, her opponent is not malevolent but rather extracted randomly from a population of individuals with given distribution on actions. First, convergence conditions are revisited based on the common prior on the population distribution, and we define the notion of \emph{1st-moment approachability}. Second, we develop a model of two coupled partial differential equations (PDEs) in the spirit of mean-field game theory: one describing the best-response of every player given the population distribution (this is a \emph{Hamilton-Jacobi-Bell…