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In a combinatorial exchange setting, players place sell (resp. buy) bids on combinations of traded goods. Besides the question of finding an optimal selection of winning bids, the question of how to share the obtained profit is of high…
Many popular search engines run an auction to determine the placement of advertisements next to search results. Current auctions at Google and Yahoo! let advertisers specify a single amount as their bid in the auction. This bid is…
Within a common arbitrage-free semimartingale financial market we consider the problem of determining all Nash equilibrium investment strategies for $n$ agents who try to maximize the expected utility of their relative wealth. The utility…
In non-truthful auctions, agents' utility for a strategy depends on the strategies of the opponents and also the prior distribution over their private types; the set of Bayes Nash equilibria generally has an intricate dependence on the…
Online auctions have expanded rapidly over the last decade and have become a fascinating new type of business or commercial transaction in this digital era. Here we introduce a master equation for the bidding process that takes place in…
We report statistical regularities of the opening and closing auctions of French equities, focusing on the diffusive properties of the indicative auction price. Two mechanisms are at play as the auction end time nears: the typical price…
Much work has been done on the computation of market equilibria. However due to strategic play by buyers, it is not clear whether these are actually observed in the market. Motivated by the observation that a buyer may derive a better…
We compute equilibrium strategies in multi-stage games with continuous signal and action spaces as they are widely used in the management sciences and economics. Examples include sequential sales via auctions, multi-stage elimination…
We study discrete two player all-pay auction with complete information. We provide full characterization of mixed strategy Nash equilibria and show that they constitute a subset of Nash equilibria of discrete General Lotto game. We show…
We study Nash equilibria for inventory-averse high-frequency traders (HFTs), who trade to exploit information about future price changes. For discrete trading rounds, the HFTs' optimal trading strategies and their equilibrium price impact…
We study the query complexity of approximate notions of Nash equilibrium in games with a large number of players $n$. Our main result states that for $n$-player binary-action games and for constant $\varepsilon$, the query complexity of an…
Approximations to utility indifference prices are provided for a contingent claim in the large position size limit. Results are valid for general utility functions on the real line and semi-martingale models. It is shown that as the…
When opposing parties compete for a prize, the sunk effort players exert during the conflict can affect the value of the winner's reward. These spillovers can have substantial influence on the equilibrium behavior of participants in…
We examine trade-offs among stakeholders in ad auctions. Our metrics are the revenue for the utility of the auctioneer, the number of clicks for the utility of the users and the welfare for the utility of the advertisers. We show how to…
We consider the problem of fairly allocating a set of indivisible goods to a set of strategic agents with additive valuation functions. We assume no monetary transfers and, therefore, a mechanism in our setting is an algorithm that takes as…
Inferring a decision maker's utility function typically involves an elicitation phase where the decision maker responds to a series of elicitation queries, followed by an estimation phase where the state-of-the-art is to either fit the…
In this communication, some economic models given by functional mappings are addressed. These are models for random markets where agents trade by pairs and exchange their money in a random and conservative way. They display the exponential…
Public goods games study the incentives of individuals to contribute to a public good and their behaviors in equilibria. In this paper, we examine a specific type of public goods game where players are networked and each has binary actions,…
In this paper, we introduce a novel, non-recursive, maximal matching algorithm for double auctions, which aims to maximize the amount of commodities to be traded. It differs from the usual equilibrium matching, which clears a market at the…
Motivated by Carbon Emissions Trading Schemes, Treasury Auctions, Procurement Auctions, and Wholesale Electricity Markets, which all involve the auctioning of homogeneous multiple units, we consider the problem of learning how to bid in…