Related papers: Ascending-Price Algorithms for Unknown Markets
The general method is proposed for constructing a family of martingale measures for a wide class of evolution of risky assets. The sufficient conditions are formulated for the evolution of risky assets under which the family of equivalent…
We model the role of an online platform disrupting a market with unit-demand buyers and unit-supply sellers. Each seller can transact with a subset of the buyers whom she already knows, as well as with any additional buyers to whom she is…
Recently equal risk pricing, a framework for fair derivative pricing, was extended to consider dynamic risk measures. However, all current implementations either employ a static risk measure that violates time consistency, or are based on…
Collusion in market pricing is a concept associated with human actions to raise market prices through artificially limited supply. Recently, the idea of algorithmic collusion was put forward, where the human action in the pricing process is…
This paper contributes to the literature on parametric demand estimation by using deep learning to model consumer preferences. Traditional econometric methods often struggle with limited within-product price variation, a challenge addressed…
This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective functional balances the expected utility and variance on log…
We study revenue optimization pricing algorithms for repeated posted-price auctions where a seller interacts with a single strategic buyer that holds a fixed private valuation. We show that, in the case when both the seller and the buyer…
We consider some classical optimization problems in path planning and network transport, and we introduce new auction-based algorithms for their optimal and suboptimal solution. The algorithms are based on mathematical ideas that are…
We consider an outsourcing problem where a software agent procures multiple services from providers with uncertain reliabilities to complete a computational task before a strict deadline. The service consumer requires a procurement strategy…
The presence of integer variables in the European day-ahead electricity market renders the social welfare maximization problem non-convex and non-differentiable, making classical marginal pricing theoretically inconsistent. Existing pricing…
Pricing advanced data products - particularly in complex fields such as semiconductor manufacturing - is a fundamentally challenging task due to the sparsity of publicly available transaction data, and its frequent heterogeneity and…
We consider the problem of computing a (pure) Bayes-Nash equilibrium in the first-price auction with continuous value distributions and discrete bidding space. We prove that when bidders have independent subjective prior beliefs about the…
A pricing principle is introduced for non-attainable $q$-exponential bounded contingent claims in an incomplete Brownian motion market setting. The buyer evaluates the contingent claim under the ``distorted Radon-Nikodym derivative'' and…
This paper presents the first polynomial-time algorithm for position and matroid auction environments that learns, from samples from an unknown bounded valuation distribution, an auction with expected revenue arbitrarily close to the…
The t\^atonnement process and Smale's process are two classical approaches to compute market equilibrium in exchange economies. While the t\^atonnement process can be seen as a first-order method, Smale's process, being second-order, is…
This survey outlines a general and modular theory for proving approximation guarantees for equilibria of auctions in complex settings. This theory complements traditional economic techniques, which generally focus on exact and optimal…
A number of goods are called identical if they provide the same level of utility to each agent. In various real-world instances of fair division scenarios, identical indivisible items are allocated to consumers and demandants with different…
A derivative is a financial security whose value is a function of underlying traded assets and market outcomes. Pricing a financial derivative involves setting up a market model, finding a martingale (``fair game") probability measure for…
We use valid inequalities (cuts) of the binary integer program for winner determination in a combinatorial auction (CA) as "artificial items" that can be interpreted intuitively and priced to generate Artificial Walrasian Equilibria. We…
We propose a model of incentives for data pricing in large mobile networks, in which an operator wishes to balance the number of connections (active users) of different classes of users in the different cells and at different time instants,…