Related papers: Approximating welfare in large efficient markets

We study bilateral trade between two strategic agents. The celebrated result of Myerson and Satterthwaite states that in general, no incentive-compatible, individually rational and weakly budget balanced mechanism can be efficient. I.e., no…

We consider the problem of inference for the states and parameters of a continuous-time multitype branching process from partially observed time series data. Exact inference for this class of models, typically using sequential Monte Carlo,…

We present a scalable and robust Bayesian inference method for linear state space models. The method is applied to demand forecasting in the context of a large e-commerce platform, paying special attention to intermittent and bursty target…

Walrasian prices, if they exist, have the property that one can assign every buyer some bundle in her demand set, such that the resulting assignment will maximize social welfare. Unfortunately, this assumes carefully breaking ties amongst…

This paper studies Markov perfect equilibria in a repeated duopoly model where sellers choose algorithms. An algorithm is a mapping from the competitor's price to own price. Once set, algorithms respond quickly. Customers arrive randomly…

This work studies equilibrium problems under uncertainty where firms maximize their profits in a robust way when selling their output. Robust optimization plays an increasingly important role when best guaranteed objective values are to be…

This paper proves that the welfare of the first price auction in Bayes-Nash equilibrium is at least a $.743$-fraction of the welfare of the optimal mechanism assuming agents' values are independently distributed. The previous best bound was…

Cross-classified data frequently arise in scientific fields such as education, healthcare, and social sciences. A common modeling strategy is to introduce crossed random effects within a regression framework. However, this approach often…

We formalize a framework for coordinating funding and selecting projects, the costs of which are shared among agents with quasi-linear utility functions and individual budgets. Our model contains the classical discrete participatory…

In both finance and economics, quantitative models are usually studied as isolated mathematical objects --- most often defined by very strong simplifying assumptions concerning rationality, efficiency and the existence of disequilibrium…

We study the computation of equilibria in prediction markets in perhaps the most fundamental special case with two players and three trading opportunities. To do so, we show equivalence of prediction market equilibria with those of a…

I construct a novel random double auction as a robust bilateral trading mechanism for a profit-maximizing intermediary who facilitates trade between a buyer and a seller. It works as follows. The intermediary publicly commits to charging a…

The agent-based Yard-Sale model of wealth inequality is generalized to incorporate exponential economic growth and its distribution. The distribution of economic growth is nonuniform and is determined by the wealth of each agent and a…

We develop a theory for the market impact of large trading orders, which we call metaorders because they are typically split into small pieces and executed incrementally. Market impact is empirically observed to be a concave function of…

Public goods are often either over-consumed in the absence of regulatory mechanisms, or remain completely unused, as in the Covid-19 pandemic, where social distance constraints are enforced to limit the number of people who can share public…

We consider the task of assigning indivisible goods to a set of agents in a fair manner. Our notion of fairness is Nash social welfare, i.e., the goal is to maximize the geometric mean of the utilities of the agents. Each good comes in…

As a typical representation of complex networks studied relatively thoroughly, financial market presents some special details, such as its nonconservation and opinions spreading. In this model, agents congregate to form some clusters, which…

We are interested in mechanisms that maximize social welfare. In [1] this problem was studied for multi-unit auctions with unit demand bidders and for the public project problem, and in each case social welfare undominated mechanisms in the…

Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution…

We consider a model of bilateral trade with private values. The value of the buyer and the cost of the seller are jointly distributed. The true joint distribution is unknown to the designer, however, the marginal distributions of the value…