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In this paper, we introduce a family of sequential decision-making problems, collectively termed the Keychain Problem, that involve exploring a set of actions to maximize expected payoff when only a subset of actions are available in each…
Cloud service providers typically provide different types of virtual machines (VMs) to cloud users with various requirements. Thanks to its effectiveness and fairness, auction has been widely applied in this heterogeneous resource…
This paper develops a model to evaluate the viability of blockchain markets as the sole venue for price formation. Blockchains clear at discrete intervals called block time, and transactions are executed sequentially according to priority…
We study a real-time bidding problem resulting from a set of contractual obligations stipulating that a firm win a specified number of heterogeneous impressions or ad placements over a defined duration in a real-time auction. The contracts…
Auctions have been proposed as a way to provide economic incentives for primary users to dynamically allocate unused spectrum to other users in need of it. Previously proposed schemes do not take into account the fact that the power…
Previous works suggested the use of Branch and Bound techniques for finding the optimal allocation in (multi-unit) combinatorial auctions. They remarked that Linear Programming could provide a good upper-bound to the optimal allocation, but…
This paper studies four trading algorithms of a professional trader at a multilateral trading facility, observing a realistic two-sided limit order book whose dynamics are driven by the order book events. The identity of the trader can be…
This paper examines knapsack auctions as a method to solve the knapsack problem with incomplete information, where object values are private and sizes are public. We analyze three auction types-uniform price (UP), discriminatory price (DP),…
Increasing number of the cloud-based Internet applications demands for efficient resource and cost management. This paper proposes a real-time group auction system for the cloud instance market. The system is designed based on a…
Combinatorial contracts are emerging as a key paradigm in algorithmic contract design, paralleling the role of combinatorial auctions in algorithmic mechanism design. In this paper we study natural combinatorial contract settings involving…
Securing necessary resources for edge computing processes via effective resource trading becomes a critical technique in supporting computation-intensive mobile applications. Conventional onsite spot trading could facilitate this paradigm…
Motivated by the dynamic assortment offerings and item pricings occurring in e-commerce, we study a general problem of allocating finite inventories to heterogeneous customers arriving sequentially. We analyze this problem under the…
Quantity and price risks are key uncertainties market participants face in electricity markets with increased volatility, for instance, due to high shares of renewables. From day ahead until real-time, there is a large variation in the best…
Efficient markets are characterised by profit-driven participants continuously refining their positions towards the latest insights. Margins for profit generation are generally small, shaping a difficult landscape for automated trading…
We study algorithms for combinatorial market design problems, where a set of heterogeneous and indivisible objects are priced and sold to potential buyers subject to equilibrium constraints. Extending the CWE notion introduced by Feldman et…
We present a method for finding envy-free prices in a combinatorial auction where the consumers' number $n$ coincides with that of distinct items for sale, each consumer can buy one single item and each item has only one unit available.…
In this paper, we investigate the capacitated assortment optimization problem with pricing under the paired combinatorial logit model, whose goal is to identify the revenue-maximizing subset of products as well as their selling prices…
This paper addresses the optimal scheduling of the liquidation of a portfolio using a new angle. Instead of focusing only on the scheduling aspect like Almgren and Chriss, or only on the liquidity-consuming orders like Obizhaeva and Wang,…
The current art in optimal combinatorial auctions is limited to handling the case of single units of multiple items, with each bidder bidding on exactly one bundle (single minded bidders). This paper extends the current art by proposing an…
This paper studies Markov perfect equilibria in a repeated duopoly model where sellers choose algorithms. An algorithm is a mapping from the competitor's price to own price. Once set, algorithms respond quickly. Customers arrive randomly…