Related papers: On Optimal Pricing Model for Multiple Dealers in a…
We use a principal-agent model to analyze the structure of a book-driven dealer market when the dealer faces competition from a crossing network or dark pool. The agents are privately informed about their types (e.g. their portfolios),…
Linear Fisher market is one of the most fundamental economic models. The market is traditionally examined on the basis of individual's price-taking behavior. However, this assumption breaks in markets such as online advertising and…
In dealer markets, dealers provide prices at which they agree to buy and sell the assets and securities they have in their scope. With ever increasing trading volume, this quoting task has to be done algorithmically in most markets such as…
This paper explores the gain maximization problem of two nations engaging in non-cooperative bilateral trade. Probabilistic model of an exchange of commodities under different price systems is considered. Volume of commodities exchanged…
In display advertising, a small group of sellers and bidders face each other in up to 10 12 auctions a day. In this context, revenue maximisation via monopoly price learning is a high-value problem for sellers. By nature, these auctions are…
Selling a single item to $n$ self-interested buyers is a fundamental problem in economics, where the two objectives typically considered are welfare maximization and revenue maximization. Since the optimal mechanisms are often impractical…
In online advertising markets, budget-constrained advertisers acquire ad placements through repeated bidding in auctions on various platforms. We present a strategy for bidding optimally in a set of auctions that may or may not be…
Trading frictions are stochastic. They are, moreover, in many instances fast-mean reverting. Here, we study how to optimally trade in a market with stochastic price impact and study approximations to the resulting optimal control problem…
In this paper, we analyze the behavior of a multi-agent system driven by the interactions of agents within a competitive environment. To achieve this, we describe the transition probabilities that underlie the system's stochastic nature. We…
I study the design of auctions in which the auctioneer is assumed to have information only about the marginal distribution of a generic bidder's valuation, but does not know the correlation structure of the joint distribution of bidders'…
We study how to maximize the broker's (expected) profit in a two-sided market, where she buys items from a set of sellers and resells them to a set of buyers. Each seller has a single item to sell and holds a private value on her item, and…
This paper examines whether one can learn to play an optimal action while only knowing part of true specification of the environment. We choose the optimal pricing problem as our laboratory, where the monopolist is endowed with an…
We propose a series of simple models for the microstructure of a double auction market without intermediaries. We specialize to those markets, such interdealer broker markets, which are dominated by professional traders, who trade mainly…
In this work, we study a scenario where a publisher seeks to maximize its total revenue across two sales channels: guaranteed contracts that promise to deliver a certain number of impressions to the advertisers, and spot demands through an…
We consider a trading marketplace that is populated by traders with diverse trading strategies and objectives. The marketplace allows the suppliers to list their goods and facilitates matching between buyers and sellers. In return, such a…
The dynamics of financial markets are driven by the interactions between participants, as well as the trading mechanisms and regulatory frameworks that govern these interactions. Decision-makers would rather not ignore the impact of other…
We study a multi-agent setting in which brokers transact with an informed trader. Through a sequential Stackelberg-type game, brokers manage trading costs and adverse selection with an informed trader. In particular, supplying liquidity to…
A monopolist wishes to maximize her profits by finding an optimal price policy. After she announces a menu of products and prices, each agent $x$ will choose to buy that product $y(x)$ which maximizes his own utility, if positive. The…
We propose a multi-agent model of an asset market and study conditions that guarantee that the strategy of an individual agent cannot outperform the market. The model assumes a mean-field approximation of the market by considering an…
We study the relationship between price spread, volatility and trading volume. We find that spread forms as a result of interplay between order liquidity and order impact. When trading volume is small adding more liquidity helps improve…