Position-building in competition with real-world constraints
This paper extends the optimal-trading framework developed in arXiv:2409.03586v1 to compute optimal strategies with real-world constraints. The aim of the current paper, as with the previous, is to study trading in the context of multi-player non-cooperative games. While the former paper relies on methods from the calculus of variations and optimal strategies arise as the solution of partial differential equations, the current paper demonstrates that the entire framework may be re-framed as a quadratic programming problem and cast in this light constraints are readily incorporated into the calculation of optimal strategies. An added benefit is that two-trader equilibria may be calculated as the end-points of a dynamic process of traders forming repeated adjustments to each other's strategy.
Code (0)
등록된 구현이 없습니다.
Tasks
PositionSimilar Papers 제목 키워드 기반
Bertrand Menu Competition
We study a variation of the price competition model a la Bertrand, in which firms must offer menus of contracts that obey monotonicity constraints, e.g., wages that rise with worker productivity to comport with equal pay…
Optimal position-building strategies in competition
This paper develops a mathematical framework for building a position in a stock over a fixed period of time while in competition with one or more other traders doing the same thing. We develop a game-theoretic framework …
PositionCompetitive equilibria in trading
This is the third paper in a series concerning the game-theoretic aspects of position-building while in competition. The first paper set forth foundations and laid out the essential goal, which is to minimize implementat…
Can an AI Win Ghana's National Science and Maths Quiz? An AI Grand Challenge for Education
There is a lack of enough qualified teachers across Africa which hampers efforts to provide adequate learning support such as educational question answering (EQA) to students. An AI system that can enable students to ask…
MathPositionQuestion AnsweringGenerating Redstone Style Cities in Minecraft
Procedurally generating cities in Minecraft provides players more diverse scenarios and could help understand and improve the design of cities in other digital worlds and the real world. This paper presents a city genera…
Layout GenerationMinecraft