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Repeated games simulating exchange auction and recursive sequences

Abstract

A simplified model of multistage bidding between two differently informed agents (insider and uninformed participant) is described using repeated games with asymmetric information. The solutions for these games are obtained in the explicit form for the case of three possible bids. The game value (the maximal guaranteed insider’s payoff) and the optimal players’ strategies are expressed using a second-order recursive sequence.

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Original Russian Text © V.L. Kreps, 2009, published in Izvestiya Akademii Nauk. Teoriya i Sistemy Upravleniya, 2009, No. 4, pp. 109–120.

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Kreps, V.L. Repeated games simulating exchange auction and recursive sequences. J. Comput. Syst. Sci. Int. 48, 604–615 (2009). https://doi.org/10.1134/S1064230709040145

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  • DOI: https://doi.org/10.1134/S1064230709040145

Keywords

  • Payoff
  • Optimal Strategy
  • Stock Price
  • System Science International
  • Payoff Matrix