Related papers: Approximating welfare in large efficient markets

In this communication, some economic models given by functional mappings are addressed. These are models for random markets where agents trade by pairs and exchange their money in a random and conservative way. They display the exponential…

We study the bilateral trade problem: one seller, one buyer and a single, indivisible item for sale. It is well known that there is no fully-efficient and incentive compatible mechanism for this problem that maintains a balanced budget. We…

We revisit the connection between bargaining and equilibrium in exchange economies, and study its algorithmic implications. We consider bargaining outcomes to be allocations that cannot be blocked (i.e., profitably re-traded) by coalitions…

We study a large economy in which firms cannot compute exact solutions to the non-linear equations that characterize the equilibrium price at which they can sell future output. Instead, firms use polynomial expansions to approximate prices.…

We study online combinatorial auctions with production costs proposed by Blum et al. using the online primal dual framework. In this model, buyers arrive online, and the seller can produce multiple copies of each item subject to a…

Quasi-equilibrium models for aggregate variables are widely-used throughout finance and economics. The validity of such models depends crucially upon assuming that the systems' participants behave both independently and in a Markovian…

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…

We study linear Fisher markets with satiation. In these markets, sellers have earning limits and buyers have utility limits. Beyond natural applications in economics, these markets arise in the context of maximizing Nash social welfare when…

We present a general two-side market model with divisible commodities and price functions of participants. A general existence result on unbounded sets is obtained from its variational inequality re-formulation. We describe an extension of…

We present a Markovian market model driven by a hidden Brownian efficient price. In particular, we extend the queue-reactive model, making its dynamics dependent on the efficient price. Our study focuses on two sub-models: a signal-driven…

In lowest unique bid auctions, $N$ players bid for an item. The winner is whoever places the \emph{lowest} bid, provided that it is also unique. We use a grand canonical approach to derive an analytical expression for the equilibrium…

We prove the global existence of an incomplete, continuous-time finite-agent Radner equilibrium in which exponential agents optimize their expected utility over both running consumption and terminal wealth. The market consists of a traded…

Although both systems analyzed are described through two theories apparently different (quantum mechanics and game theory) it is shown that both are analogous and thus exactly equivalents. The quantum analogue of the replicator dynamics is…

We study markets of indivisible items in which price-based (Walrasian) equilibria often do not exist due to the discrete non-convex setting. Instead we consider Nash equilibria of the market viewed as a game, where players bid for items,…

Doubly intractable distributions arise in many settings, for example in Markov models for point processes and exponential random graph models for networks. Bayesian inference for these models is challenging because they involve intractable…

We study the two-agent single-item bilateral trade. Ideally, the trade should happen whenever the buyer's value for the item exceeds the seller's cost. However, the classical result of Myerson and Satterthwaite showed that no mechanism can…

It was recently shown in [http://arxiv.org/abs/1207.5518] that revenue optimization can be computationally efficiently reduced to welfare optimization in all multi-dimensional Bayesian auction problems with arbitrary (possibly…

We consider the problem of welfare maximization in two-sided markets using simple mechanisms that are prior-independent. The Myerson-Satterthwaite impossibility theorem shows that even for bilateral trade, there is no feasible (IR,…

We construct a binary market model with memory that approximates a continuous-time market model driven by a Gaussian process equivalent to Brownian motion. We give a sufficient conditions for the binary market to be arbitrage-free. In a…

We consider the Brownian market model and the problem of expected utility maximization of terminal wealth. We, specifically, examine the problem of maximizing the utility of terminal wealth under the presence of transaction costs of a…