Related papers: Pricing and clearing combinatorial markets with si…
In this paper, we study a pricing problem of the multiple reset put option, which allows the holder to reset several times a current strike price to obtain an at-the-money European put option. We formulate the pricing problem as a multiple…
In a multiple-object auction, every bidder tries to win as many objects as possible with a bidding algorithm. This paper studies position-randomized auctions, which form a special class of multiple-object auctions where a bidding algorithm…
Reallocation scheduling is one of the most fundamental problems in various areas such as supply chain management, logistics, and transportation science. In this paper, we introduce the reallocation problem that models the scheduling in…
Convergence (virtual) bidding is an important part of two-settlement electric power markets as it can effectively reduce discrepancies between the day-ahead and real-time markets. Consequently, there is extensive research into the bidding…
We study how an e-commerce firm should make real-time fulfillment decisions in a two-layer distribution network when multi-item customer orders arrive sequentially and future demand is unknown. The central managerial tension is whether to…
We introduce a combinatorial variant of the cost sharing problem: several services can be provided to each player and each player values every combination of services differently. A publicly known cost function specifies the cost of…
Probabilistic forecasting in combination with stochastic programming is a key tool for handling the growing uncertainties in future energy systems. Derived from a general stochastic programming formulation for the optimal scheduling and…
We provide a Polynomial Time Approximation Scheme (PTAS) for the Bayesian optimal multi-item multi-bidder auction problem under two conditions. First, bidders are independent, have additive valuations and are from the same population.…
Simultaneous ascending auctions present agents with the exposure problem: bidding to acquire a bundle risks the possibility of obtaining an undesired subset of the goods. Auction theory provides little guidance for dealing with this…
We consider a two-way trading problem, where investors buy and sell a stock whose price moves within a certain range. Naturally they want to maximize their profit. Investors can perform up to $k$ trades, where each trade must involve the…
This paper presents a new combinatorial optimisation task, the Subset Sum Matching Problem (SSMP), which is an abstraction of common financial applications such as trades reconciliation. We present three algorithms, two suboptimal and one…
A prevalent assumption in auction theory is that the auctioneer has full control over the market and that the allocation she dictates is final. In practice, however, agents might be able to resell acquired items in an aftermarket. A…
A coordinated trading process is proposed as a design for an electricity market with significant uncertainty, perhaps from renewables. In this process, groups of agents propose to the system operator (SO) a contingent buy and sell trade…
A platform commits to a search algorithm that maps prices to search order. Given this algorithm, sellers set prices, and consumers engage in sequential search. This framework generalizes the ordered search literature. We introduce a special…
In this paper, we propose a bilateral peer-to-peer (P2P) energy trading scheme under single-contract and multi-contract market setups, both as an assignment game, and a special class of coalitional games. {The proposed market formulation…
Pairs-trading is a trading strategy that involves matching a long position with a short position in two stocks aiming at market-neutral profits. While a typical pairs-trading system monitors the prices of two statistically correlated stocks…
Matching markets are of particular interest in computer science and economics literature as they are often used to model real-world phenomena where we aim to equitably distribute a limited amount of resources to multiple agents and…
We propose a model for price formation in financial markets based on clearing of a standard call auction with random orders, and verify its validity for prediction of the daily closing price distribution statistically. The model considers…
Finding Bertram's optimal trading strategy for a pair of cointegrated assets following the Ornstein--Uhlenbeck price difference process can be formulated as an unconstrained convex optimization problem for maximization of expected profit…
We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts. The high-frequency trader has the choice to trade via market orders or…