Game-theoretic dynamic investment model with incomplete information: futures contracts

TL;DR

This paper models futures market dynamics using a multi-step game theory approach to analyze how competition influences prices and liquidity under incomplete information.

Contribution

It introduces a novel game-theoretic model for futures trading with incomplete information, capturing strategic interactions among multiple market participants.

Findings

High market liquidity results from intense competition among buyers and sellers.

The model demonstrates how incomplete information impacts trading strategies and market outcomes.

Futures market efficiency is enhanced through strategic interactions modeled in the game.

Abstract

Over the past few years, the futures market has been successfully developing in the North-West region. Futures markets are one of the most effective and liquid-visible trading mechanisms. A large number of buyers are forced to compete with each other and raise their prices. A large number of sellers make them reduce prices. Thus, the gap between the prices of offers of buyers and sellers is reduced due to high competition, and this is a good criterion for the liquidity of the market. This high degree of liquidity contributed to the fact that futures trading took such an important role in commerce and finance. A multi-step, non-cooperative n persons game is formalized and studied