Geodesic
A Survey on Discrete Bidding Games with Asymmetric Information
Contributions to game theory and management, Tome 6 (2013), pp. 89-114.

Voir la notice de l'article provenant de la source Math-Net.Ru

Repeated bidding games were introduced by De Meyer and Saley (2002) to analyze the evolution of the price system at finance markets with asymmetric information. In the paper of De Meyer and Saley arbitrary bids are allowed. It is more realistic to assume that players may assign only discrete bids proportional to a minimal currency unit. This paper represents a survey of author's results on discrete bidding games with asymmetric information.
Keywords: multistage bidding, asymmetric information, price fluctuation, random walk, repeated game, optimal strategy. 
@article{CGTM_2013_6_a6,
     author = {Victor Domansky and Victoria Kreps and Marina Sandomirskaia},
     title = {A {Survey} on {Discrete} {Bidding} {Games} with {Asymmetric} {Information}},
     journal = {Contributions to game theory and management},
     pages = {89--114},
     publisher = {mathdoc},
     volume = {6},
     year = {2013},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/CGTM_2013_6_a6/}
}
TY  - JOUR
AU  - Victor Domansky
AU  - Victoria Kreps
AU  - Marina Sandomirskaia
TI  - A Survey on Discrete Bidding Games with Asymmetric Information
JO  - Contributions to game theory and management
PY  - 2013
SP  - 89
EP  - 114
VL  - 6
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/CGTM_2013_6_a6/
LA  - en
ID  - CGTM_2013_6_a6
ER  - 
%0 Journal Article
%A Victor Domansky
%A Victoria Kreps
%A Marina Sandomirskaia
%T A Survey on Discrete Bidding Games with Asymmetric Information
%J Contributions to game theory and management
%D 2013
%P 89-114
%V 6
%I mathdoc
%U http://geodesic.mathdoc.fr/item/CGTM_2013_6_a6/
%G en
%F CGTM_2013_6_a6
Victor Domansky; Victoria Kreps; Marina Sandomirskaia. A Survey on Discrete Bidding Games with Asymmetric Information. Contributions to game theory and management, Tome 6 (2013), pp. 89-114. http://geodesic.mathdoc.fr/item/CGTM_2013_6_a6/

[1] Aumann R., Maschler M., Repeated Games with Incomplete Information, The MIT Press, Cambridge, Massachusetts, London, England, 1995 | MR | Zbl

[2] De Meyer B., “Price dynamics on a stock market with asymmetric information”, Games and Economic Behavior, 69:1 (2010), 42–71 | DOI | MR | Zbl

[3] De Meyer B., Marino A., Continuous versus discrete market game, Cowles Foundation Discussion Paper, No 1535, 2005

[4] De Meyer B., Saley H., “On the Strategic Origin of Brownian Motion in Finance”, Int. J. of Game Theory, 31 (2002), 285–319 | DOI | MR | Zbl

[5] Domansky V., “Repeated games with asymmetric information and random price fluctuations at finance markets”, Int. J. of Game Theory, 36:2 (2007), 241–257 | DOI | MR | Zbl

[6] Domansky V., “Symmetric representations of bivariate distributions”, Statistics and Probability Letters, 83 (2013), 1054–1061 | DOI | MR | Zbl

[7] Domansky V., Kreps V., “Repeated games with asymmetric information and random price fluctuations at finance markets”, Proceedings of applied and industrial mathematics, 12:4 (2005), 950–952 (in Russian)

[8] Domansky V., Kreps V., Repeated games with asymmetric information and random price fluctuations at finance markets: the case of countable state space, Preprint 2009.40, Centre d'Economie de la Sorbonne, Univ. Paris 1, 2009

[9] Domansky V., Kreps V., “Repeated games with asymmetric information modeling financial markets with two risky assets”, RAIRO (to appear)

[10] Gensbittel F., Asymptotic analysis of repeated games with incomplete information, Thèse de doctorat de l'Université Paris 1 (10/12/2010), Panthéon–Sorbonne–Paris, 2010, Bernard De Meyer (Dir) http:/tel.archives-ouvertes.fr/tel-00579522/fr/

[11] Kreps V., “Repeated Games Simulating Exchange Auctions and Return Sequences”, Journal of Computer and Systems Sciences International, 48:4 (2009), 604–615 | DOI | MR

[12] Obloj J., “The Skorokhod embedding problem and its offspring”, Probability Surveys, 1 (2004), 321–392 | DOI | MR | Zbl

[13] Sandomirskaia M., Domansky V., “Solution for one-stage bidding game with incomplete information”, Int. Conf. Game Theory and Management, GTM2011, Collected Papers, eds. L. Petrosjan, N. Zenkevich, 2012, 268–285

[14] Sandomirskaia M., “Game-theoretic approach to insider trading modeling: one-stage bidding with non-zero bid-ask spread”, Int. Conf. Game Theory and Management, GTM2012, Abstracts, eds. L. Petrosjan, N. Zenkevich, 2012, 232–233

[15] Sandomirskaia M., “Game-theoretical modelling of stock market dynamics: trading mechanism with non-zero bid-ask spread”, Journal of New Mathematical Association, 2013 (to appear)

[16] Sandomirskaia M., Price of sudden revealing of insider information on stock market, unpublished, 2013