Related papers: eBay's Market Intermediation Problem
We introduce a new approach for the numerical pricing of American options. The main idea is to choose a finite number of suitable excessive functions (randomly) and to find the smallest majorant of the gain function in the span of these…
We envision a marketplace where diverse entities offer specialized "modules" through APIs, allowing users to compose the outputs of these modules for complex tasks within a given budget. This paper studies the market design problem in such…
We provide a characterization of revenue-optimal dynamic mechanisms in settings where a monopolist sells k items over k periods to a buyer who realizes his value for item i in the beginning of period i. We require that the mechanism…
A speculative agent with Prospect Theory preference chooses the optimal time to purchase and then to sell an indivisible risky asset to maximize the expected utility of the round-trip profit net of transaction costs. The optimization…
Inspired by Internet ad auction applications, we study the problem of allocating a single item via an auction when bidders place very different values on the item. We formulate this as the problem of prior-free auction and focus on…
Problem definition: Traditional monopoly pricing assumes sellers have full information about consumer valuations. We consider monopoly pricing under limited information, where a seller only knows the mean, variance and support of the…
This paper studies an online trading variant of the classical secretary problem, called secretary problem variant trading (SPVT), from the perspective of an intermediary who facilitates trade between a seller and $n$ buyers (collectively…
In the matroid buyback problem, an algorithm observes a sequence of bids and must decide whether to accept each bid at the moment it arrives, subject to a matroid constraint on the set of accepted bids. Decisions to reject bids are…
In this work we study a finite horizon optimal liquidation problem with multiplicative price impact in algorithmic trading, using market orders. We analyze the case when an agent is trading on a market with two financial assets, whose…
A decision maker is choosing between an active action (e.g., purchase a house, invest certain stock) and a passive action. The payoff of the active action depends on the buyer's private type and also an unknown state of nature. An…
We apply Reinforcement Learning algorithms to solve the classic quantitative finance Market Making problem, in which an agent provides liquidity to the market by placing buy and sell orders while maximizing a utility function. The optimal…
Strategic product placement can have a strong influence on customer purchase behavior in physical stores as well as online platforms. Motivated by this, we consider the problem of optimizing the placement of substitutable products in…
In this work, we study a scenario where a publisher seeks to maximize its total revenue across two sales channels: guaranteed contracts that promise to deliver a certain number of impressions to the advertisers, and spot demands through an…
Sellers in online markets face the challenge of determining the right time to sell in view of uncertain future offers. Classical stopping theory assumes that sellers have full knowledge of the value distributions, and leverage this…
We study a classic Bayesian mechanism design setting of monopoly problem for an additive buyer in the presence of budgets. In this setting a monopolist seller with $m$ heterogeneous items faces a single buyer and seeks to maximize her…
We consider the bilateral trade problem, in which two agents trade a single indivisible item. It is known that the only dominant-strategy truthful mechanism is the fixed-price mechanism: given commonly known distributions of the buyer's…
An indivisible object may be sold to one of $n$ agents who know their valuations of the object. The seller would like to use a revenue-maximizing mechanism but her knowledge of the valuations' distribution is scarce: she knows only the…
In this article, we tackle the problem of a market maker in charge of a book of options on a single liquid underlying asset. By using an approximation of the portfolio in terms of its vega, we show that the seemingly high-dimensional…
We study an abstract optimal auction problem for a single good or service. This problem includes environments where agents have budgets, risk preferences, or multi-dimensional preferences over several possible configurations of the good…
E-Commerce marketplaces support millions of daily transactions, and some disagreements between buyers and sellers are unavoidable. Resolving disputes in an accurate, fast, and fair manner is of great importance for maintaining a trustworthy…