Related papers: Budget Constraints in Prediction Markets

Fisher markets are those where buyers with budgets compete for scarce items, a natural model for many real world markets including online advertising. A market equilibrium is a set of prices and allocations of items such that supply meets…

The study of repeated interactions between a learner and a utility-maximizing optimizer has yielded deep insights into the manipulability of learning algorithms. However, existing literature primarily focuses on independent, unlinked…

We study budget-constrained contextual bandits with adversarial contexts, where each action yields a random reward and incurs a random cost. We adopt the standard realizability assumption: conditioned on the observed context, rewards and…

In a multi-battle contest, each time a player competes by investing some of her budgets or resources in a component battle to collect a value if winning the battle. There are multiple battles to fight, and the budgets get consumed over…

In this paper, reinforcement learning is applied to the problem of optimizing market making. A multi-agent reinforcement learning framework is used to optimally place limit orders that lead to successful trades. The framework consists of…

In this paper, we study the problem of learning to bid in repeated first-price auctions with budget constraints. In each period, the decision maker needs to submit a bid to win the auction and maximize the total collected reward, subject to…

Motivated by the practical challenge in monitoring the performance of a large number of algorithmic trading orders, this paper provides a methodology that leads to automatic discovery of the causes that lie behind a poor trading…

This work focuses on the mathematical study of constant function market makers. We rigorously establish the conditions for optimal trading under the assumption of a quasilinear, but not necessarily convex (or concave), trade function. This…

We study the efficiency of simple combinatorial auctions for the allocation of a set of items to a set of agents, with private subadditive valuation functions and budget constraints. The class we consider includes all auctions that allocate…

The all-pay auction, a classic competitive model, is widely applied in scenarios such as political elections, sports competitions, and research and development, where all participants pay their bids regardless of winning or losing. However,…

This article considers the pricing and hedging of a call option when liquidity matters, that is, either for a large nominal or for an illiquid underlying asset. In practice, as opposed to the classical assumptions of a price-taking agent in…

We study the power of price discrimination via an intermediary in bilateral trade, when there is a revenue-maximizing seller selling an item to a buyer with a private value drawn from a prior. Between the seller and the buyer, there is an…

In this paper we develop a model of an order-driven market where traders set bids and asks and post market or limit orders according to exogenously fixed rules. Agents are assumed to have three components to the expectation of future asset…

We show that, in a market economy, the aggregate production level depends not only on the aggregate variables but also on the distribution of individual characteristics (e.g., productivity, credit limit, ...). We prove that, due to…

We have studied here the self-organising features of the dynamics of a model market, where the agents `trade' for a single commodity with their money. The model market consists of fixed numbers of economic agents, money supply and…

This paper presents a stochastic model for discrete-time trading in financial markets where trading costs are given by convex cost functions and portfolios are constrained by convex sets. The model does not assume the existence of a cash…

We study a natural combinatorial pricing problem for sequentially arriving buyers with equal budgets. Each buyer is interested in exactly one pair of items and purchases this pair if and only if, upon arrival, both items are still available…

We address the problem of maximizing Gain from Trade (GFT) in repeated buyer-seller exchanges subject to global budget balance constraints. While this problem is well-understood in purely adversarial and stochastic settings, these…

This paper addresses a novel data science problem, prescriptive price optimization, which derives the optimal price strategy to maximize future profit/revenue on the basis of massive predictive formulas produced by machine learning. The…

Maximizing utility with a budget constraint is the primary goal for advertisers in real-time bidding (RTB) systems. The policy maximizing the utility is referred to as the optimal bidding strategy. Earlier works on optimal bidding strategy…