Related papers: Budget Constraints in Prediction Markets
In this paper, we study a retailer price optimization problem which includes the practical constraints: maximum number of price changes and minimum amount of price change (if a change is recommended). We provide a closed-form formula for…
We present a synthetic prediction market whose agent purchase logic is defined using a sigmoid transformation of a convex semi-algebraic set defined in feature space. Asset prices are determined by a logarithmic scoring market rule. Time…
We study individual rational, Pareto optimal, and incentive compatible mechanisms for auctions with heterogeneous items and budget limits. For multi-dimensional valuations we show that there can be no deterministic mechanism with these…
We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model,…
We study online bilateral trade, where a learner facilitates repeated exchanges between a buyer and a seller to maximize the Gain From Trade (GFT), i.e., the social welfare. In doing so, the learner must guarantee not to subsidize the…
We present a number of models for the adword auctions used for pricing advertising slots on search engines such as Google, Yahoo! etc. We begin with a general problem formulation which allows the privately known valuation per click to be a…
We study the problem of designing a two-sided market (double auction) to maximize the gains from trade (social welfare) under the constraints of (dominant-strategy) incentive compatibility and budget-balance. Our goal is to do so for an…
The research area of algorithms with predictions has seen recent success showing how to incorporate machine learning into algorithm design to improve performance when the predictions are correct, while retaining worst-case guarantees when…
The auction theory literature has so far focused mostly on the design of mechanisms that takes the revenue or the efficiency as a yardstick. However, scenarios where the {\it capacity}, which we define as \textit{``the number of bidders the…
The role of a market maker is to simultaneously offer to buy and sell quantities of goods, often a financial asset such as a share, at specified prices. An automated market maker (AMM) is a mechanism that offers to trade according to some…
Two general algorithms based on opportunity costs are given for approximating a revenue-maximizing set of bids an auctioneer should accept, in a combinatorial auction in which each bidder offers a price for some subset of the available…
In markets where algorithmic data processing is increasingly prevalent, recommendation algorithms can substantially affect trade and welfare. We consider a setting in which an algorithm recommends a product based on its value to the buyer…
Building on ideas from online convex optimization, we propose a general framework for the design of efficient securities markets over very large outcome spaces. The challenge here is computational. In a complete market, in which one…
Creating a linguistic resource is often done by using a machine learning model that filters the content that goes through to a human annotator, before going into the final resource. However, budgets are often limited, and the amount of…
We consider the problem of maximizing portfolio value when an agent has a subjective view on asset value which differs from the traded market price. The agent's trades will have a price impact which affect the price at which the asset is…
Over the past decade, many dealers have implemented algorithmic models to automatically respond to RFQs and manage flows originating from their electronic platforms. In parallel, building on the foundational work of Ho and Stoll, and later…
A platform commits to a search algorithm that maps prices to search order. Given this algorithm, sellers set prices, and consumers engage in sequential search. This framework generalizes the ordered search literature. We introduce a special…
In this paper, we present a simplified framework to represent competition, coordination and bargaining in fisheries when they operate under financial and technological constraints. Competition within constraints leads to a particular type…
An investor trades a safe and several risky assets with linear price impact to maximize expected utility from terminal wealth. In the limit for small impact costs, we explicitly determine the optimal policy and welfare, in a general…
Multi-item mechanisms can be very complex offering many different bundles to the buyer that could even be randomized. Such complexity is thought to be necessary as the revenue gaps between randomized and deterministic mechanisms, or…