Related papers: Budget Constraints in Prediction Markets
In this paper, we study sequential auctions with two budget constrained bidders and any number of identical items. All prior results on such auctions consider only two items. We construct a canonical outcome of the auction that is the only…
Bitcoin is firmly becoming a mainstream asset in our global society. Its highly volatile nature has traders and speculators flooding into the market to take advantage of its significant price swings in the hope of making money. This work…
We consider the problem of the optimal trading strategy in the presence of linear costs, and with a strict cap on the allowed position in the market. Using Bellman's backward recursion method, we show that the optimal strategy is to switch…
The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators and practitioners alike. Recently, universal and highly nonlinear master curves were observed for price impacts aggregated on all…
We consider a market setting of agents with additive valuations over heterogeneous divisible resources. Agents are assigned a budget of tokens (possibly unequal budgets) they can use to obtain resources; leftover tokens are worthless. We…
We provide a constructive proof of Border's theorem [Bor91, HR15a] and its generalization to reduced-form auctions with asymmetric bidders [Bor07, MV10, CKM13]. Given a reduced form, we identify a subset of Border constraints that are…
The estimation of asset return distributions is crucial for determining optimal trading strategies. In this paper we describe the constrained mixture model, based on a mixture of Gamma and Gaussian distributions, to provide an accurate…
In this paper we introduce a completely continuous and time-variate model of the evolution of market limit orders based on the existence, uniqueness, and regularity of the solutions to a type of stochastic partial differential equations…
This paper considers the constrained portfolio optimization in a generalized life-cycle model. The individual with a stochastic income manages a portfolio consisting of stocks, a bond, and life insurance to maximize his or her consumption…
Most finance studies are discussed on the basis of several hypotheses, for example, investors rationally optimize their investment strategies. However, the hypotheses themselves are sometimes criticized. Market impacts, where trades of…
Motivated by sponsored search auctions, we study multi-unit auctions with budget constraints. In the mechanism we propose, Sort-Cut, understating budgets or values is weakly dominated. Since Sort-Cut's revenue is increasing in budgets and…
We study a novel multi-armed bandit problem that models the challenge faced by a company wishing to explore new strategies to maximize revenue whilst simultaneously maintaining their revenue above a fixed baseline, uniformly over time.…
Interference between treated and untreated units is a source of bias in marketplace experiments. In this paper, we specifically consider pricing interventions, in which a platform seeks to adjust base pricing levels at the marketplace level…
We study a sequential profit-maximization problem, optimizing for both price and ancillary variables like marketing expenditures. Specifically, we aim to maximize profit over an arbitrary sequence of multiple demand curves, each dependent…
High-quality machine learning models are dependent on access to high-quality training data. When the data are not already available, it is tedious and costly to obtain them. Data markets help with identifying valuable training data: model…
Motivated by the problem of market power in electricity markets, we introduced in previous works a mechanism for simplified markets of two agents with linear cost. In standard procurement auctions, the market power resulting from the…
The goal of this work is to study binary market models with transaction costs, and to characterize their arbitrage opportunities. It has been already shown that the absence of arbitrage is related to the existence of \lambda-consistent…
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…
Financial markets populated by human traders often exhibit "market impact", where the traders' quote-prices move in the direction of anticipated change, before any transaction has taken place, as an immediate reaction to the arrival of a…
Effective budget allocation is crucial for optimizing the performance of digital advertising campaigns. However, the development of practical budget allocation algorithms remain limited, primarily due to the lack of public datasets and…