Related papers: A Field Guide to Personalized Reserve Prices
Traditionally, the Bayesian optimal auction design problem has been considered either when the bidder values are i.i.d., or when each bidder is individually identifiable via her value distribution. The latter is a reasonable approach when…
We provide efficient estimation methods for first- and second-price auctions under independent (asymmetric) private values and partial observability. Given a finite set of observations, each comprising the identity of the winner and the…
Over the past few years, more and more Internet advertisers have started using automated bidding for optimizing their advertising campaigns. Such advertisers have an optimization goal (e.g. to maximize conversions), and some constraints…
We study the problem of selling a resource through an auction mechanism. The winning buyer in turn develops this resource to generate profit. Two forms of payment are considered: charging the winning buyer a one-time payment, or an initial…
We propose and study a novel mechanism design setup where each bidder holds two kinds of private information: (1) type variable, which can be misreported; (2) information variable, which the bidder may want to conceal or partially reveal,…
We consider a financial market in discrete time and study pricing and hedging conditional on the information available up to an arbitrary point in time. In this conditional framework, we determine the structure of arbitrage-free prices.…
We investigate approximately optimal mechanisms in settings where bidders' utility functions are non-linear; specifically, convex, with respect to payments (such settings arise, for instance, in procurement auctions for energy). We provide…
Unexpected advertising items in sponsored search may reduce users' reliance on organic search, resulting in hidden cost for the e-commerce platform. To address this problem and promote sustainable growth, we propose a dynamic reserve price…
In many natural settings agents participate in multiple different auctions that are not simultaneous. In such auctions, future opportunities affect strategic considerations of the players. The goal of this paper is to develop a quantitative…
Flaws of a continuous limit order book mechanism raise the question of whether a continuous trading session and a periodic auction session would bring better efficiency. This paper wants to go further in designing a periodic auction when…
Robust mechanism design is a rising alternative to Bayesian mechanism design, which yields designs that do not rely on assumptions like full distributional knowledge. We apply this approach to mechanisms for selling a single item, assuming…
Existing auto-bidding algorithms in digital advertising often treat the value of an ad opportunity as the revenue obtained when an ad is shown and/or clicked, and bid accordingly. This can lead to wasteful spending because the true value is…
This paper studies a simplicity notion in a mechanism design setting in which agents do not necessarily share a common prior. I develop a model in which agents participate in a prior-free game of (coarse) information acquisition followed by…
Since economic mechanisms are often applied to very different instances of the same problem, it is desirable to identify mechanisms that work well in a wide range of circumstances. We pursue this goal for a position auction setting and…
Simultaneous ascending auctions present agents with the exposure problem: bidding to acquire a bundle risks the possibility of obtaining an undesired subset of the goods. Auction theory provides little guidance for dealing with this…
Recurring auctions are ubiquitous for selling durable assets like artworks and homes, with follow-up auctions held for unsold items. We investigate such auctions theoretically and empirically. Theoretical analysis demonstrates that…
We study revenue variance in the sale of $k$ homogeneous items to risk-neutral, unit-demand bidders with independent private values. Although the Revenue Equivalence Theorem implies that standard auctions generate the same expected revenue,…
We study a phenomenological model for the continuous double auction, equivalent to two independent $M/M/1$ queues. The continuous double auction defines a continuous-time random walk for trade prices. The conditions for ergodicity of the…
We consider auction environments in which at the time of the auction bidders observe signals about their ex-post value. We introduce a model of novice bidders who do not know know the joint distribution of signals and instead build a…
We consider a revenue optimizing seller selling a single item to a buyer, on whose private value the seller has a noisy signal. We show that, when the signal is kept private, arbitrarily more revenue could potentially be extracted than if…