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Tytuł:
Stock market as a dynamic game with continuum of players
Autorzy:
Wiszniewska-Matyszkiel, A.
Powiązania:
https://bibliotekanauki.pl/articles/970603.pdf
Data publikacji:
2008
Wydawca:
Polska Akademia Nauk. Instytut Badań Systemowych PAN
Tematy:
stock exchange
multistage games
continuum of players
Nash equilibrium
belief-distorted Nash equilibrium
Opis:
This paper contains a game-theoretic model describing the behaviour of investors at a stock exchange. The model presented is developed to reflect the actual market microstructure. The players constitute a non-uniform continuum, differing, among others, by the planning horizon, the external flow of money which can be invested, formation of expectations about future prices, which, briefly, divides the investors into five substantially different groups. Prices are determined by orders and the equilibrating mechanism of the stock exchange. The mechanism presented is the actual single-price auction system used, in particular, at Warsaw Stock Exchange. One of the main issues are self-verifying beliefs. Results of numerical simulations of stock exchange based on the model are also included.
Źródło:
Control and Cybernetics; 2008, 37, 3; 617-647
0324-8569
Pojawia się w:
Control and Cybernetics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Games with distorted information and self-verification of beliefs with applications to financial markets
Autorzy:
Wiszniewska-Matyszkiel, Agnieszka
Powiązania:
https://bibliotekanauki.pl/articles/453471.pdf
Data publikacji:
2010
Wydawca:
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
Tematy:
games with continuum of players
n-player dynamic games
Nash equilibrium
pre-belief distorted Nash equilibrium
subjective equilibrium
self-verifcation of beliefs
financial markets.
Opis:
In the paper we examine discrete time dynamic games in which the global state variable changes in response to a certain function of the pro_le of layers' decisions, called statistic, while the players form some expectations about its future values based on the history. Besides, there are also players' private state variables. A general model is built, encompassing both games with _nitely many players as well as games with in_nitely many players. This model extends the class of games with distorted information considered by the author in [20], in which there were no private state variables and there were much stronger assumptions about the statistic of players' decisions considered. The notions of pre-belief distorted Nash equilibrium (pre-BDNE), self-veri_cation and belief distorted Nash equilibrium (BDNE), de_ned already in [20], are applied to our wider class of games. The relations between Nash equilibria, pre-BDNE and BDNE are examined as well as the existence and properties of pre-BDNE. A model of a _nancial market { a simpli_ed stock exchange { is presented as an example. Pre-BDNE using threshold prices are proposed. One of further results in this example is potential self-veri_cation of fundamental beliefs and beliefs in in_nite speculative bubbles.
Źródło:
Metody Ilościowe w Badaniach Ekonomicznych; 2010, 11, 1; 254-275
2082-792X
Pojawia się w:
Metody Ilościowe w Badaniach Ekonomicznych
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Stackelberg Security Games: Models, Applications and Computational Aspects
Autorzy:
Wilczyński, A.
Jakóbik, A.
Kołodziej, J.
Powiązania:
https://bibliotekanauki.pl/articles/309423.pdf
Data publikacji:
2016
Wydawca:
Instytut Łączności - Państwowy Instytut Badawczy
Tematy:
Bayesian game
game theory
leadership
Nash equilibrium
normal form games
security games
Stackelberg equilibrium
Stackelberg games
Opis:
Stackelberg games are non-symmetric games where one player or specified group of players have the privilege position and make decision before the other players. Such games are used in telecommunication and computational systems for supporting administrative decisions. Recently Stackleberg games became useful also in the systems where security issues are the crucial decision criteria. In this paper authors briefly survey the most popular Stackelberg security game models and provide the analysis of the model properties illustrated in the realistic use cases.
Źródło:
Journal of Telecommunications and Information Technology; 2016, 3; 70-79
1509-4553
1899-8852
Pojawia się w:
Journal of Telecommunications and Information Technology
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Strategic option pricing
Autorzy:
Bieta, Volker
Broll, Udo
Siebe, Wilfried
Powiązania:
https://bibliotekanauki.pl/articles/1837957.pdf
Data publikacji:
2020-09-30
Wydawca:
Uniwersytet Ekonomiczny w Poznaniu
Tematy:
option pricing
game theory
Nash equilibrium
Opis:
In this paper an extension of the well-known binomial approach to option pricing is presented. The classical question is: What is the price of an option on the risky asset? The traditional answer is obtained with the help of a replicating portfolio by ruling out arbitrage. Instead a two-person game from the Nash equilibrium of which the option price can be derived is formulated. Consequently both the underlying asset’s price at expiration and the price of the option on this asset are endogenously determined. The option price derived this way turns out, however, to be identical to the classical no-arbitrage option price of the binomial model if the expiration-date prices of the underlying asset and the corresponding risk-neutral probability are properly adjusted according to the Nash equilibrium data of the game.
Źródło:
Economics and Business Review; 2020, 6, 3; 118-129
2392-1641
Pojawia się w:
Economics and Business Review
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
The Minority Game and Quantum Game Theory
Gra Mniejszościowa I Kwantowa Teoria Gier
Autorzy:
Bolonek, Katarzyna
Powiązania:
https://bibliotekanauki.pl/articles/906291.pdf
Data publikacji:
2009
Wydawca:
Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
Tematy:
minority game
quantum game theory
Nash equilibrium
Opis:
Artykuł zawiera propozycje procedur kwantowania gier dobrze znanych w klasycznej teorii gier. Przedstawiono proste modele gier kwantowych. Jako pierwszy został omówiony dylemat więźnia zarówno w wersji klasycznej jak i kwantowej, który ma wiele praktycznych zastosowań w ekonomii, jednym z przykładów są oszustwa w porozumieniach kartelowych. Kolejnym modelem gry kwantowej jest kwantowa gra rynkowa opisana za pomocą kwantowego oscylatora harmonicznego. Jako ostatni został omówiony model kwantowej gry mniejszościowej.
This paper builds up on proposed convincing procedures telling how to quantize well-known games from the classical game theory. The thesis introduces some simple models of quantum games. At first, the prisoners’ dilemma in classical and quantum version is described. This simple model has many practical applications in economics, one example being frauds in cartel agreements. The next model of quantum game is the quantum market game, described with the help of the quantum harmonic oscillator. It is known that quantum algorithms may be thought of as the games between classical and quantum agents; therefore, as the last example the quantum minority game is introduced.
Źródło:
Acta Universitatis Lodziensis. Folia Oeconomica; 2009, 228
0208-6018
2353-7663
Pojawia się w:
Acta Universitatis Lodziensis. Folia Oeconomica
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Some remarks on equilibria in semi-Markov games
Autorzy:
Nowak, Andrzej
Powiązania:
https://bibliotekanauki.pl/articles/1208130.pdf
Data publikacji:
2000
Wydawca:
Polska Akademia Nauk. Instytut Matematyczny PAN
Tematy:
correlated equilibrium
Nash equilibrium
general state space
nonzero-sum semi-Markov game
long run expected average payoff criterion
Opis:
This paper is a first study of correlated equilibria in nonzero-sum semi-Markov stochastic games. We consider the expected average payoff criterion under a strong ergodicity assumption on the transition structure of the games. The main result is an extension of the correlated equilibrium theorem proven for discounted (discrete-time) Markov games in our joint paper with Raghavan. We also provide an existence result for stationary Nash equilibria in the limiting average payoff semi-Markov games with state independent and nonatomic transition probabilities. A similar result was proven for discounted Markov games by Parthasarathy and Sinha.
Źródło:
Applicationes Mathematicae; 2000, 27, 4; 385-394
1233-7234
Pojawia się w:
Applicationes Mathematicae
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Allocating Pooled Inventory According to Contributions and Entitlements
Autorzy:
Gerchak, Y.
Powiązania:
https://bibliotekanauki.pl/articles/375956.pdf
Data publikacji:
2015
Wydawca:
Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
Tematy:
inventory pooling
retailer contributions
entitlements
Nash equilibrium
Opis:
Inventory pooling, whether by centralization of stock or by mutual assistance, is known to be beneficial when demands are uncertain. But when the retailers are independent, the question is how to divide the benefits of pooling. e consider a decentralized inventorypooling scheme where a retailer’s entitlements to the allocation during a shortage depend on his/her contributions to the pool. We derive the Nash equilibrium and specialize it to symmetric cases.
Źródło:
Decision Making in Manufacturing and Services; 2015, 9, 1; 51-54
1896-8325
2300-7087
Pojawia się w:
Decision Making in Manufacturing and Services
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
A process algebraic form to represent extensive games
Autorzy:
Gheibi, O.
Ramezanian, R.
Powiązania:
https://bibliotekanauki.pl/articles/205871.pdf
Data publikacji:
2015
Wydawca:
Polska Akademia Nauk. Instytut Badań Systemowych PAN
Tematy:
extensive games
Nash equilibrium
process theory
process algebra
Opis:
In this paper, we introduce an agent-based representation of games, in order to propose a compact representation for multi-party games in game theory. Our method is inspired by concepts in process theory and process algebra. In addition, we introduce an algorithm whose input is a game in the form of process algebra (proposed in this paper) and as an output, the algorithm finds the Nash equilibrium of the game in linear space complexity.
Źródło:
Control and Cybernetics; 2015, 44, 1; 129-148
0324-8569
Pojawia się w:
Control and Cybernetics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
USEFUL GOVERNMENT EXPENDITURE INFLUENCE ON THE SHADOW ECONOMY
Autorzy:
Malaczewska, Paulina
Powiązania:
https://bibliotekanauki.pl/articles/452927.pdf
Data publikacji:
2013
Wydawca:
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
Tematy:
shadow economy
useful government expenditure
game theory
Nash equilibrium
Opis:
This paper contains the attempt to describe the phenomenon of shadow economy as a zero-sum non-cooperative, normal form game between households and the government. In the model government spending can be treated as a government consumption or as an expenses that contribute to increased social welfare and for the provision of public goods and services. We conduct sensitivity analysis of Nash equilibrium in models with two different types of government expenditure and examine whether proposed models indicate a various mechanisms and determinants of the undeclared economic activity.
Źródło:
Metody Ilościowe w Badaniach Ekonomicznych; 2013, 14, 2; 61-69
2082-792X
Pojawia się w:
Metody Ilościowe w Badaniach Ekonomicznych
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Po co matematykom Jan Jakub Rousseau?
Why do mathematicians need Jean-Jacques Rousseau?
Autorzy:
Kalinowska, Alina
Stański, Adam
Powiązania:
https://bibliotekanauki.pl/articles/1388538.pdf
Data publikacji:
2015-09-30
Wydawca:
Uniwersytet Gdański. Wydawnictwo Uniwersytetu Gdańskiego
Tematy:
Game Theory
Competitive game
Cooperative games
Nash equilibrium
Pareto efficiency
Opis:
One day, Jean-Jacques Rousseau, who was known mainly as a philosopher and a pedagogue, told a deer hunting story. In doing so, he managed to play a small role in the development of the branch of maths called ‘game theory’. Later his story was converted into a game. Initially game theory was used to explain exchange in the field of economics. Over time, the mathematical modeling was found to be useful in the social sciences. A game theory describes diverse and cognizant participants forced to make decisions. In regards to the game based on cooperation, a choice is at the same time a dilemma. It can be viewed as a moral or philosophical predicament and in addition it gives as an inside into the human psyche and behaviour. Game theory has the potential to offer an attractive mathematical model, useful in analyzing social interactions. Though currently unappreciated by pedagogy, it has the potential to be successfully used in pedagogical studies analyzing conflict of interest of all participants in an educational process.
Źródło:
Problemy Wczesnej Edukacji; 2015, 30, 3; 121-125
1734-1582
2451-2230
Pojawia się w:
Problemy Wczesnej Edukacji
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Nash-lambda algorithm with applications in safety and reliability
Autorzy:
Cui, Y.
Guo, R.
Powiązania:
https://bibliotekanauki.pl/articles/2069567.pdf
Data publikacji:
2011
Wydawca:
Uniwersytet Morski w Gdyni. Polskie Towarzystwo Bezpieczeństwa i Niezawodności
Tematy:
lambda algorithm
Nash equilibrium
genetic algorithm
safety
reliability
terrorist threa
Opis:
In this paper, a new algorithm, named as Nash-lambda algorithm by merging Nash equilibrium solution and the lambda algorithm, is proposed. The lambda algorithm, a new global optimization algorithm, is created by imitating ancient Chinese human body system model, which has already demonstrated its simplicity in searching scheme, codes and efficiency in computation comparing to the genetic algorithm. The noncorporative game environments determine the optimization problems which are different from those of the traditional safety and reliability optimizations because of the engagement of the Nash equilibrium for seeking the best strategy. The lambda algorithm serves the searching the Nash equilibrium solution efficiently. In other worlds, the Nash-lambda algorithm is just developed to address the optimization problems of the multiple objective functions representing non-corporative players’ interests.
Źródło:
Journal of Polish Safety and Reliability Association; 2011, 2, 1; 51--58
2084-5316
Pojawia się w:
Journal of Polish Safety and Reliability Association
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Analysis of Ineffectiveness Arising in “Investor-government” Relations
Autorzy:
Sokolovskyi, Dmytro B.
Sokolovska, Olena V.
Powiązania:
https://bibliotekanauki.pl/articles/417302.pdf
Data publikacji:
2015-09-15
Wydawca:
Akademia Leona Koźmińskiego w Warszawie
Tematy:
investors
Pareto-optimality
modeling
Game Theory
Nash equilibrium
Government
economic behavior
Opis:
Purpose: This article deals with the problem of forming Pareto non-optimal norms of mutual behavior of investors and government in the process of decision-making related to financing designed to reduce risks in investment activity. Methodology: Considering the interdependent type (nature) of interactions between related parties, game theory tools were used to model such interactions. Much attention was directed to search for� parameters of interaction leading to certain Nash equilibriums in pure strategies. The formal results obtained with the model were verified by statistical analysis. Findings: Analysis showed that the rational behavior of related parties can lead to unexpected results. Powerful investors will aim to work in socially-oriented economies, whereas primarily small investors will operate in most liberal economies with a�minimum tax burden but with a�higher level of risk. As for governments’ behaviors, the images are the same: small economies tend to liberalize their tax systems and to secure investment faster than powerful ones. Empirical verification based on statistical data of groups of countries generally confirmed the conclusions. These formal and logical conclusions were from statistical analysis of 124 countries divided into 5 groups: OECD countries, post-socialist countries, Latin American countries, APAC countries and ACP countries. Provided that the more powerful ones are covered economies, there was stronger interdependence between the size of economies and tax burden and also between total investment and tax burden, where this dependence is positive. Originality: The results obtained used Nash equilibriums in pure strategies as models of behavioral norms to define behaviors of related parties and also to explain assumptions concerning the behaviors of investors and government.
Źródło:
Management and Business Administration. Central Europe; 2015, 3; 47-70
2084-3356
Pojawia się w:
Management and Business Administration. Central Europe
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Equilibrium strategies in a fiscal-monetary game : a simulation analysis
Autorzy:
Woroniecka-Leciejewicz, I.
Powiązania:
https://bibliotekanauki.pl/articles/406348.pdf
Data publikacji:
2015
Wydawca:
Politechnika Wrocławska. Oficyna Wydawnicza Politechniki Wrocławskiej
Tematy:
fiscal-monetary game
policy-mix
fiscal policy
monetary policy
Nash equilibrium
Opis:
The results from a simulation analysis of the policy-mix have been presented, carried out in a fiscal-monetary game, in which fiscal and monetary authorities make decisions from the point of view of realizing their own respective economic objectives. In order to represent the interrelations between, on the one hand, the instruments of fiscal policy and of monetary policy, and, on the other hand – the economic effects resulting from their application, a modified logistic function was used. The method adopted enables consideration of the specificity of the effects of these instruments on the business cycle, consisting in the limited effectiveness of applying any extremely restrictive or expansive policy, and the respective impact on the economy. The simulation study was meant to show the influence exerted both by the parameters of the function and the priorities of the fiscal and monetary authorities on the Nash equilibrium state, corresponding to the choice of a particular combination of budgetary and monetary policies.
Źródło:
Operations Research and Decisions; 2015, 25, 2; 75-100
2081-8858
2391-6060
Pojawia się w:
Operations Research and Decisions
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Assessment of the historical policy mixes for Poland using the game approach
Autorzy:
Kruś, L.
Woroniecka-Leciejewicz, I.
Powiązania:
https://bibliotekanauki.pl/articles/205620.pdf
Data publikacji:
2018
Wydawca:
Polska Akademia Nauk. Instytut Badań Systemowych PAN
Tematy:
game theory
economic modeling
policy-mix
decision analysis
Nash equilibrium
Pareto optimality
Opis:
The study here presented pertains to the analysis of mutual interactions of the monetary and fiscal policies in the case of Poland. The historical policies carried out during different periods of time and their economic effects are compared with the possible strategies, obtained from the analysis of the proposed monetaryfiscal game. In the study, the methods of non-cooperative game theory are combined with macroeconomic modeling. The respective game is formulated for monetary and fiscal authorities as players. Strategies of these players refer to the respective instruments of their policies: the real interest rate and the budget deficit in relation to GDP. Payoffs include inflation and GDP growth, respectively. The payoffs are calculated using a recursive macroeconomic model estimated for the Polish economy. The model describes influences of the instruments of the monetary and fiscal policies on the state of the economy. The best response strategies, the Nash equilibria and Pareto optimality are analyzed. Changes of the policies towards the more restrictive or more expansive ones and their effects in comparison to the historically applied are discussed. This is performed for two different time periods – the time of recovery after 2004 and the time of the global financial crisis after 2008.
Źródło:
Control and Cybernetics; 2018, 47, 3; 277-300
0324-8569
Pojawia się w:
Control and Cybernetics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
On nonzero-sum stopping game related to discrete risk processes
Autorzy:
Bobecka, K.
Ferenstein, E.
Powiązania:
https://bibliotekanauki.pl/articles/205836.pdf
Data publikacji:
2001
Wydawca:
Polska Akademia Nauk. Instytut Badań Systemowych PAN
Tematy:
gra stopująca
proces ryzyka
równowaga Nasha
Nash equilibrium
risk process
stopping game
Opis:
We consider two-person nonzero-sum stopping game. The players (insurers) observe discrete time risk processes until one of them decides to stop his process. Strategies of the players are stopping times. The aim of each player is to maximize his expected gain. We find Nash equilibrium point for this game under certain assumptions on reward sequences.
Źródło:
Control and Cybernetics; 2001, 30, 3; 339-354
0324-8569
Pojawia się w:
Control and Cybernetics
Dostawca treści:
Biblioteka Nauki
Artykuł
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