Related papers: Market Making with Decreasing Utility for Informat…
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…
Online platforms collect rich information about participants and then share some of this information back with them to improve market outcomes. In this paper we study the following information disclosure problem in two-sided markets: If a…
We develop a theory for the market impact of large trading orders, which we call metaorders because they are typically split into small pieces and executed incrementally. Market impact is empirically observed to be a concave function of…
We consider Bayesian optimization of an expensive-to-evaluate black-box objective function, where we also have access to cheaper approximations of the objective. In general, such approximations arise in applications such as reinforcement…
We study the implementability of stable matchings in a two-sided market model with one-sided incomplete information. Firms' types are publicly known, whereas workers' types are private information. A mechanism generates a matching and…
How does competition in markets for information affect the creation and division of surplus? We study this question in a search environment in which an agent searches sequentially for a high-quality good and learns about the quality of…
Market-based mechanisms such as auctions are being studied as an appropriate means for resource allocation in distributed and mulitagent decision problems. When agents value resources in combination rather than in isolation, they must often…
In this paper, we propose a model of decentralized energy storages, who serve as instruments to shift energy supply intertemporally. From storages' perspective, we investigate their optimal buying or selling decisions under market…
Pricing decisions of companies require an understanding of the causal effect of a price change on the demand. When real-life pricing experiments are infeasible, data-driven decision-making must be based on alternative data sources such as…
We study a pricing setting where each customer is offered a contextualized price based on customer and/or product features. Often only historical sales data are available, so we observe whether a customer purchased a product at the price…
The utility company has many motivations for modifying energy consumption patterns of consumers such as revenue decoupling and demand response programs. We model the utility company--consumer interaction as a principal--agent problem. We…
Scoring rules for eliciting expert predictions of random variables are usually developed assuming that experts derive utility only from the quality of their predictions (e.g., score awarded by the rule, or payoff in a prediction market). We…
We consider a discrete time financial market with proportional transaction costs under model uncertainty, and study a num\'eraire-based semi-static utility maximization problem with an exponential utility preference. The randomization…
This paper reports experimental data describing the dynamics of three key information-sharing outcomes: quantity of information shared, falsification and accuracy. The experimental design follows a formal model predicting that cooperative…
In an incomplete market setting, we consider two financial agents, who wish to price and trade a non-replicable contingent claim. Assuming that the agents are utility maximizers, we propose a transaction price which is a result of the…
A fundamental result in mechanism design theory, the so-called revelation principle, asserts that for many questions concerning the existence of mechanisms with a given outcome one can restrict attention to truthful direct…
We consider a scenario in which a database stores sensitive data of users and an analyst wants to estimate statistics of the data. The users may suffer a cost when their data are used in which case they should be compensated. The analyst…
We consider a model of oligopolistic competition in a market with search frictions, in which competing firms with products of unknown quality advertise how much information a consumer's visit will glean. In the unique symmetric equilibrium…
We analyze the revenue loss due to market shrinkage. Specifically, consider a simple market with one item for sale and $n$ bidders whose values are drawn from some joint distribution. Suppose that the market shrinks as a single bidder…
Modern mainstream financial theory is underpinned by the efficient market hypothesis, which posits the rapid incorporation of relevant information into asset pricing. Limited prior studies in the operational research literature have…