Related papers: Revenue Loss in Shrinking Markets
How does competition in markets for information affect the creation and division of surplus? We study this question in a search environment in which an agent searches sequentially for a high-quality good and learns about the quality of…
We study the problem of designing a two-sided market (double auction) to maximize the gains from trade (social welfare) under the constraints of (dominant-strategy) incentive compatibility and budget-balance. Our goal is to do so for an…
It has been assumed that arbitrage profits are not possible in efficient markets, because future prices are not predictable. Here we show that predictability alone is not a sufficient measure of market efficiency. We instead propose to…
We mathematically analyze a simple market model where trading at each point in time involves only two agents with the sum of their money being conserved and with neither parties resulting with negative money after the interaction process.…
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…
Auction is applied for trade with various mechanisms. A simple but practical question is which mechanism, typically first-price or second-price auctions, is preferred from the perspective of bidders or sellers. A celebrated answer is…
Maximizing the revenue from selling two or more goods has been shown to require the use of $nonmonotonic$ mechanisms, where a higher-valuation buyer may pay less than a lower-valuation one. Here we show that the restriction to $monotonic$…
The optimal price of each firm falls in the search cost of consumers, in the limit to the monopoly price, despite the exit of lower-value consumers in response to costlier search. Exit means that fewer inframarginal consumers remain. The…
Consider a seller that intends to auction some item. The seller can invest money and effort in advertising in different market segments in order to recruit $n$ bidders to the auction. Alternatively, the seller can have a much cheaper and…
In many professons employees are rewarded according to their relative performance. Corresponding economy can be modeled by taking $N$ independent agents who gain from the market with a rate which depends on their current gain. We argue that…
In markets for online advertising, some advertisers pay only when users respond to ads. So publishers estimate ad response rates and multiply by advertiser bids to estimate expected revenue for showing ads. Since these estimates may be…
Consider a monopolist selling $n$ items to an additive buyer whose item values are drawn from independent distributions $F_1,F_2,\ldots,F_n$ possibly having unbounded support. Unlike in the single-item case, it is well known that the…
We consider the problem of maximizing the expected revenue from selling $k$ homogeneous goods to $n$ unit-demand buyers who arrive sequentially with independent and identically distributed valuations. In this setting the optimal posted…
We study the distributions of money in a simple closed economic system for different types of monetary transactions. We know that for arbitrary and random sharing but locally conserving money transactions, the money distribution goes to the…
To recover a low rank structure from a noisy matrix, truncated singular value decomposition has been extensively used and studied. Recent studies suggested that the signal can be better estimated by shrinking the singular values. We pursue…
We look at discovering the impact of market microstructure on equitability for market participants at public exchanges such as the New York Stock Exchange or NASDAQ. Are these environments equitable venues for low-frequency participants…
We consider the problem of the optimization of bidding strategies in prior-dependent revenue-maximizing auctions, when the seller fixes the reserve prices based on the bid distributions. Our study is done in the setting where one bidder is…
We propose to study market efficiency from a computational viewpoint. Borrowing from theoretical computer science, we define a market to be \emph{efficient with respect to resources $S$} (e.g., time, memory) if no strategy using resources…
In this paper we study the single-item revenue management problem, with no information given about the demand trajectory over time. When the item is sold through accepting/rejecting different fare classes, Ball and Queyranne (2009) have…
We study the efficiency of allocations in large markets with a network structure where every seller owns an edge in a graph and every buyer desires a path connecting some nodes. While it is known that stable allocations in such settings can…