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We study methods to enhance statistical privacy in blockchain transactions. We analyze economic mechanisms for privacy-aware transaction owners whose utility depends not only on the outcome of the mechanism but also negatively on the…
The Competition Complexity of an auction measures how much competition is needed for the revenue of a simple auction to surpass the optimal revenue. A classic result from auction theory by Bulow and Klemperer [9], states that the…
With the proliferation of the digital data economy, digital data is considered as the crude oil in the twenty-first century, and its value is increasing. Keeping pace with this trend, the model of data market trading between data providers…
Although the automation and digitisation of anti-financial crime investigation has made significant progress in recent years, detecting insider trading remains a unique challenge, partly due to the limited availability of labelled data. To…
Posted price mechanisms are prevalent in allocating goods within online marketplaces due to their simplicity and practical efficiency. We explore a fundamental scenario where buyers' valuations are independent and identically distributed,…
Many markets rely on traders truthfully communicating who has cheated in the past and ostracizing those traders from future trade. This paper investigates when truthful communication is incentive compatible. We find that if each side has a…
This paper studies the incentives of the seller and buyers to shill bid in a single-item auction. An auction is seller identity-compatible if the seller cannot profit from pretending to be one or more bidders via fake identities. It is…
It has been long that literature in financial academics focuses mainly on price and return but much less on trading volume. In the past twenty years, it has already linked both price and trading volume to economic fundamentals, and explored…
Inventory matching is a standard mechanism/auction for trading financial stocks by which buyers and sellers can be paired. In the financial world, banks often undertake the task of finding such matches between their clients. The related…
We study a dynamic market setting where an intermediary interacts with an unknown large sequence of agents that can be either sellers or buyers: their identities, as well as the sequence length $n$, are decided in an adversarial, online…
We develop a model of algorithmic pricing that shuts down every channel for explicit or implicit collusion while still generating collusive outcomes. We analyze the dynamics of a duopoly market where both firms use pricing algorithms…
Two kinetic exchange models are proposed to explore the dynamics of closed economic markets characterized by random exchanges, saving propensities, and collective transactions. Model I simulates a system where individual transactions occur…
We construct an equilibrium for the continuous time Kyle's model with stochastic liquidity, a general distribution of the fundamental price, and correlated stock and volatility dynamics. For distributions with positive support, our…
Data buyers compete in a game of incomplete information about which a single data seller owns some payoff-relevant information. The seller faces a joint information- and mechanism-design problem: deciding which information to sell, while…
Considering that a trader or a trading algorithm interacting with markets during continuous auctions can be modeled by an iterating procedure adjusting the price at which he posts orders at a given rhythm, this paper proposes a procedure…
The rapid expansion of digital commerce platforms has amplified the strategic importance of coordinated pricing and inventory management decisions among competing retailers. Motivated by practices on leading e-commerce platforms, we analyze…
Traders in a market typically have widely different, private information on the return of an asset. The equilibrium price of the asset may reflect this information more accurately if the number of traders is large enough compared to the…
We present a novel approach to describing the microstructure of high frequency trading using two key elements. First we introduce a new notion of informed trader which we starkly contrast to current informed trader models. We describe the…
With the widespread application of machine learning technology in recent years, the demand for training data has increased significantly, leading to the emergence of research areas such as data trading. The work in this field is still in…
We study a model of dynamic two-stage R&D competition where the competing firms are uncertain about the difficulty of the first stage. Staying in the competition is costly and a firm can also choose whether and when to quit. When a firm…