Related papers: Pairwise Stability in Two Sided Market with Strict…
Market-based mechanisms such as auctions are being studied as an appropriate means for resource allocation in distributed and mulitagent decision problems. When agents value resources in combination rather than in isolation, they must often…
We design novel mechanisms for welfare-maximization in two-sided markets. That is, there are buyers willing to purchase items and sellers holding items initially, both acting rationally and strategically in order to maximize utility. Our…
We study two classes of over-the-counter markets specified by systems of ODE's, in the spirit of Duffie-Garleanu-Pedersen, Econometrica, 2005. We first compute the steady states for many of these ODE's. Then we obtain the prices at which…
Pair trading is one of the most effective statistical arbitrage strategies which seeks a neutral profit by hedging a pair of selected assets. Existing methods generally decompose the task into two separate steps: pair selection and trading.…
We study the existence of stable matchings when agents have choice correspondences instead of preference relations. We extend the framework of \cite{chambers2017choice} by weakening the path independence assumption. For many-to-many…
We study contingent claims in a discrete-time market model where trading costs are given by convex functions and portfolios are constrained by convex sets. In addition to classical frictionless markets and markets with transaction costs or…
We study a two-sided matching model where one side of the market (hospitals) has combinatorial preferences over the other side (doctors). Specifically, we consider the setting where hospitals have matroid rank valuations over the doctors,…
This paper models firm-to-firm trade in a production network as a set of double auctions. Firms have multilateral market power, namely, can affect prices in both input and output markets. The size and division of surplus are endogenous and…
In this paper, we show that if every consumer in an economy has a quasi-linear utility function, then the normalized equilibrium price is unique, and is locally stable with respect to the t\^atonnement process. Our study can be seen as that…
This paper shows that in suitable markets, even with out-of-equilibrium trade allowed, a simple price update rule leads to rapid convergence toward the equilibrium. In particular, this paper considers a Fisher market repeated over an…
We consider the two-sided stable matching setting in which there may be uncertainty about the agents' preferences due to limited information or communication. We consider three models of uncertainty: (1) lottery model --- in which for each…
The stable matching problem is a prototype model in economics and social sciences where agents act selfishly to optimize their own satisfaction, subject to mutually conflicting constraints. A stable matching is a pairing of adjacent…
Posted price mechanisms are prevalent in allocating goods within online marketplaces due to their simplicity and practical efficiency. We explore a fundamental scenario where buyers' valuations are independent and identically distributed,…
We study dynamic decentralized two-sided matching in which players may encounter unanticipated experiences. As they become aware of these experiences, they may change their preferences over players on the other side of the market.…
Most modern financial markets use a continuous double auction mechanism to store and match orders and facilitate trading. In this paper we develop a microscopic dynamical statistical model for the continuous double auction under the…
Many allocation problems in multiagent systems rely on agents specifying cardinal preferences. However, allocation mechanisms can be sensitive to small perturbations in cardinal preferences, thus causing agents who make ``small" or…
We contrast Arbitrage Pricing Theory (APT), the theoretical basis for the development of financial instruments, with a dynamical picture of an interacting market, in a simple setting. The proliferation of financial instruments apparently…
The \$-Game was recently introduced as an extension of the Minority Game. In this paper we compare this model with the well know Minority Game and the Majority Game models. Due to the inter-temporal nature of the market payoff, we introduce…
Value adjustment of uncollateralized trades is determined within a risk-neutral pricing framework. When hedging such trades, investors cannot freely trade protection on their own name, thus facing an incomplete market. This fact is…
We investigate a market without money in which agents can offer certain goods (or multiple copies of an agent-specific good) in exchange for goods of other agents. The exchange must be balanced in the sense that each agent should receive a…