Related papers: Revenue Loss in Shrinking Markets
Although recent studies have shown that electricity systems with shares of wind and solar above 80% can be affordable, economists have raised concerns about market integration. Correlated generation from variable renewable sources depresses…
A simple computer simulation model of a closed market on a fixed network with free flow of goods and money is introduced. The model contains only two variables : the amount of goods and money beside the size of the system. An initially flat…
Although both data availability and the demand for accurate forecasts are increasing, collaboration between stakeholders is often constrained by data ownership and competitive interests. In contrast to recent proposals within cooperative…
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…
The declining price anomaly states that the price weakly decreases when multiple copies of an item are sold sequentially over time. The anomaly has been observed in a plethora of practical applications. On the theoretical side, Gale and…
We study envy-free pricing mechanisms in matching markets with $m$ items and $n$ budget constrained buyers. Each buyer is interested in a subset of the items on sale, and she appraises at some single-value every item in her preference-set.…
We consider a monopolist seller with $n$ heterogeneous items, facing a single buyer. The buyer has a value for each item drawn independently according to (non-identical) distributions, and her value for a set of items is additive. The…
Algorithms increasingly automate bidding in online auctions, raising concerns about tacit bid suppression and revenue shortfalls. Prior work identifies individual mechanisms behind algorithmic bid suppression, but it remains unclear which…
Electricity market operators worldwide use mixed-integer linear programming to solve the allocation problem in wholesale electricity markets. Prices are typically determined based on the duals of relaxed versions of this optimization…
In most OTC markets, a small number of market makers provide liquidity to other market participants. More precisely, for a list of assets, they set prices at which they agree to buy and sell. Market makers face therefore an interesting…
Dynamic pricing of goods in a competitive environment to maximize revenue is a natural objective and has been a subject of research over the years. In this paper, we focus on a class of markets exhibiting the substitutes property with…
Blockchain-based cryptocurrencies prioritize transactions based on their fees, creating a unique kind of fee market. Empirically, this market has failed to yield stable equilibria with predictable prices for desired levels of service. We…
Most of the research in the recommender systems domain is focused on the optimization of the metrics based on historical data such as Mean Average Precision (MAP) or Recall. However, there is a gap between the research and industry since…
We consider a multivariate financial market with transaction costs and study the problem of finding the minimal initial capital needed to hedge, without risk, European-type contingent claims. The model is similar to the one considered in…
We study a multi-player one-round game termed Stackelberg Network Pricing Game, in which a leader can set prices for a subset of $m$ priceable edges in a graph. The other edges have a fixed cost. Based on the leader's decision one or more…
We study the problem of characterizing revenue optimal auctions for single-minded buyers. Each buyer is interested only in a specific bundle of items and has a value for the same. Both his bundle and its value are his private information.…
We consider a class of auctions (Lowest Unique Bid Auctions) that have achieved a considerable success on the Internet. Bids are made in cents (of euro) and every bidder can bid as many numbers as she wants. The lowest unique bid wins the…
A financial market is a system resulting from the complex interaction between participants in a closed economy. We propose a minimal microscopic model of the financial market economy based on the real economy's symmetry constraint and…
We show that filling an order with a large number of distinct counterparts incurs additional market impact, as opposed to filling the order with a small number of counterparts. For best execution, therefore, it may be beneficial to…
In a financial exchange, market impact is a measure of the price change of an asset following a transaction. This is an important element of market microstructure, which determines the behaviour of the market following a trade. In this…