Related papers: Market Making with Model Uncertainty
Decision-making methods very often use the technique of comparing alternatives in pairs. In this approach, experts are asked to compare different options, and then a quantitative ranking is created from the results obtained. It is commonly…
This paper develops algorithms to solve strong-substitutes product-mix auctions. That is, it finds competitive equilibrium prices and quantities for agents who use this auction's bidding language to truthfully express their…
Prediction markets are a popular, prominent, and successful structure for a collective intelligence platform. However the exact mechanism by which information known to the participating traders is incorporated into the market price is…
Diffusion auction refers to an emerging paradigm of online marketplace where an auctioneer utilises a social network to attract potential buyers. Diffusion auction poses significant privacy risks. From the auction outcome, it is possible to…
The European market clearing problem is characterized by a set of heterogeneous orders and rules that force the implementation of heuristic and iterative solving methods. In particular, curtailable block orders and the uniform purchase…
The problem of allocating scarce items to individuals is an important practical question in market design. An increasingly popular set of mechanisms for this task uses the concept of market equilibrium: individuals report their preferences,…
Market power exercise in the electricity markets distorts market prices and diminishes social welfare. Many markets have implemented market power mitigation processes to eliminate the impact of such behavior. The design of mitigation…
Posted price mechanisms (PPM) constitute one of the predominant practices to price goods in online marketplaces and their revenue guarantees have been a central object of study in the last decade. We consider a basic setting where the…
The numeraire portfolio in a financial market is the unique positive wealth process that makes all other nonnegative wealth processes, when deflated by it, supermartingales. The numeraire portfolio depends on market characteristics, which…
The efficient market hypothesis (EMH) famously stated that prices fully reflect the information available to traders. This critically depends on the transfer of information into prices through trading strategies. Traders optimise their…
The increasing penetration of renewable energy in recent years has led to more uncertainties in power systems. These uncertainties have to be accommodated by flexible re- sources (i.e. upward and downward generation reserves). In this…
Two-sided matching platforms provide users with menus of match recommendations. To maximize the number of realized matches between the two sides (referred here as customers and suppliers), the platform must balance the inherent tension…
Prediction markets provide an efficient means to assess uncertain quantities from forecasters. Traditional and competitive strictly proper scoring rules have been shown to incentivize players to provide truthful probabilistic forecasts.…
Financial markets are nonlinear with complexity, where different types of assets are traded between buyers and sellers, each having a view to maximize their Return on Investment (ROI). Forecasting market trends is a challenging task since…
When agents trade in a Duality-based Cost Function prediction market, they collectively implement the learning algorithm Follow-The-Regularized-Leader. We ask whether other learning algorithms could be used to inspire the design of…
We are interested in the existence of equivalent martingale measures and the detection of arbitrage opportunities in markets where several multi-asset derivatives are traded simultaneously. More specifically, we consider a financial market…
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…
In decentralized finance ("DeFi"), automated market makers (AMMs) enable traders to programmatically exchange one asset for another. Such trades are enabled by the assets deposited by liquidity providers (LPs). The goal of this paper is to…
Prediction markets are long known for prediction accuracy. This study systematically explores the fundamental properties of prediction markets, addressing questions about their information aggregation process and the factors contributing to…
Pairs trading is a market-neutral strategy that exploits historical correlation between stocks to achieve statistical arbitrage. Existing pairs-trading algorithms in the literature require rather restrictive assumptions on the underlying…