Related papers: Comparing Prediction Market Structures, With an Ap…
This paper presents a realistic simulated stock market where large language models (LLMs) act as heterogeneous competing trading agents. The open-source framework incorporates a persistent order book with market and limit orders, partial…
Market makers play an important role in providing liquidity to markets by continuously quoting prices at which they are willing to buy and sell, and managing inventory risk. In this paper, we build a multi-agent simulation of a dealer…
We present a prototype hybrid prediction market and demonstrate the avenue it represents for meaningful human-AI collaboration. We build on prior work proposing artificial prediction markets as a novel machine-learning algorithm. In an…
Automated market makers (AMMs) are a new type of trading venues which are revolutionising the way market participants interact. At present, the majority of AMMs are constant function market makers (CFMMs) where a deterministic trading…
Modern market management systems continue to evolve due to the intentions to improve system security and reliability. This evolvement has been leading to a transition of market auction models from a deterministic structure with…
When agents trade in a Duality-based Cost Function prediction market, they collectively implement the learning algorithm Follow-The-Regularized-Leader. We ask whether other learning algorithms could be used to inspire the design of…
The world of empirical machine learning (ML) strongly relies on benchmarks in order to determine the relative effectiveness of different algorithms and methods. This paper proposes the notion of "a benchmark lottery" that describes the…
Prediction markets offer a natural testbed for trading agents: contracts have binary payoffs, prices can be interpreted as probabilities, and realized performance depends critically on market microstructure, fees, and settlement risk. We…
We propose a series of simple models for the microstructure of a double auction market without intermediaries. We specialize to those markets, such interdealer broker markets, which are dominated by professional traders, who trade mainly…
In face of the pressing need of decarbonization in the power sector, the re-design of electricity market is necessary as a Marco-level approach to accommodate the high penetration of renewable generations, and to achieve power system…
Cross-market recommendation aims to recommend products to users in a resource-scarce target market by leveraging user behaviors from similar rich-resource markets, which is crucial for E-commerce companies but receives less research…
The problem of allocating scarce items to individuals is an important practical question in market design. An increasingly popular set of mechanisms for this task uses the concept of market equilibrium: individuals report their preferences,…
We consider a market in which both suppliers and consumers compete for a product via scalar-parameterized supply offers and demand bids. Scalar-parameterized offers/bids are appealing due to their modeling simplicity and desirable…
Recommender systems have generated tremendous value for both users and businesses, drawing significant attention from academia and industry alike. However, due to practical constraints, academic research remains largely confined to offline…
This paper presents a new financial market simulator that may be used as a tool in both industry and academia for research in market microstructure. It allows multiple automated traders and/or researchers to simultaneously connect to an…
Two-sided matching markets have long existed to pair agents in the absence of regulated exchanges. A common example is school choice, where a matching mechanism uses student and school preferences to assign students to schools. In such…
We propose to study market efficiency from a computational viewpoint. Borrowing from theoretical computer science, we define a market to be \emph{efficient with respect to resources $S$} (e.g., time, memory) if no strategy using resources…
We consider a model of bilateral trade with private values. The value of the buyer and the cost of the seller are jointly distributed. The true joint distribution is unknown to the designer, however, the marginal distributions of the value…
The bisimulation metric (BSM) is a powerful tool for computing state similarities within a Markov decision process (MDP), revealing that states closer in BSM have more similar optimal value functions. While BSM has been successfully…
We study Cournot competition among firms in a networked marketplace that is centrally managed by a market maker. In particular, we study a situation in which a market maker facilitates trade between geographically separate markets via a…