Related papers: Equilibrium pricing under relative performance con…
Econometric inference allows an analyst to back out the values of agents in a mechanism from the rules of the mechanism and bids of the agents. This paper gives an algorithm to solve the problem of inferring the values of agents in a…
In practice, most auction mechanisms are not strategy-proof, so equilibrium analysis is required to predict bidding behavior. In many auctions, though, an exact equilibrium is not known and one would like to understand whether -- manually…
We develop a market model in which products generate state-dependent potential hidden charges. Firms differ in their ability to realize this potential. Unlike firms, consumers do not observe the state. They try to infer hidden charges from…
We study equilibria of markets with $m$ heterogeneous indivisible goods and $n$ consumers with combinatorial preferences. It is well known that a competitive equilibrium is not guaranteed to exist when valuations are not gross substitutes.…
This paper presents a continuous-time model of intraday trading, pricing, and liquidity with dynamic TWAP and VWAP benchmarks. The model is solved in closed-form for the competitive equilibrium and also for non-price-taking equilibria. The…
Financial markets are often driven by latent factors which traders cannot observe. Here, we address an algorithmic trading problem with collections of heterogeneous agents who aim to perform optimal execution or statistical arbitrage, where…
Electricity market operators worldwide use mixed-integer linear programming to solve the allocation problem in wholesale electricity markets. Prices are typically determined based on the duals of relaxed versions of this optimization…
Agent-based models provide a constructive approach to studying emergent dynamics in life-like systems composed of interacting, adaptive agents. Financial markets serve as a canonical example of such systems, where collective price dynamics…
We introduce a two-agent problem which is inspired by price asymmetry arising from funding difference. When two parties have different funding rates, the two parties deduce different fair prices for derivative contracts even under the same…
We study techniques to incentivize self-interested agents to form socially desirable solutions in scenarios where they benefit from mutual coordination. Towards this end, we consider coordination games where agents have different intrinsic…
We consider the optimal investment and marginal utility pricing problem of a risk averse agent and quantify their exposure to a small amount of model uncertainty. Specifically, we compute explicitly the first-order sensitivity of their…
A combinatorial market consists of a set of indivisible items and a set of agents, where each agent has a valuation function that specifies for each subset of items its value for the given agent. From an optimization point of view, the goal…
We introduce a quantitative approach to comparative statics that allows to bound the maximum effect of an exogenous parameter change on a system's equilibrium. The motivation for this approach is a well known paradox in multimarket Cournot…
This paper is mainly a survey of recent research developments regarding methods for risk minimization in financial markets modeled by It\^o-L\'evy processes, but it also contains some new results on the underlying stochastic maximum…
We consider thin incomplete financial markets, where traders with heterogeneous preferences and risk exposures have motive to behave strategically regarding the demand schedules they submit, thereby impacting prices and allocations. We…
We show an auction-based algorithm to compute market equilibrium prices in a production model, where consumers purchase items under separable nonlinear utility concave functions which satisfy W.G.S(Weak Gross Substitutes); producers produce…
We extend a linear version of the liquidity risk model of Cetin et al. (2004) to allow for price impacts. We show that the impact of a market order on prices depends on the size of the transaction and the level of liquidity. We obtain a…
We study the problem of determination of asset prices in an incomplete market proposing three different but related scenarios. One scenario uses a market game approach whereas the other two are based on risk sharing or regret minimizing…
This work presents a methodology for forward electricity contract price projection based on market equilibrium and social welfare optimization. In the methodology supply and demand for forward contracts are produced in such a way that each…
We study backward stochastic difference equations (BS{\Delta}E) driven by a d-dimensional stochastic process on a lattice whose increments have only d + 1 possible values that generates the lattice. Regarding the driving process as a d…