Related papers: On pricing rules and optimal strategies in general…
Some researchers speculate that intelligent reinforcement learning (RL) agents would be incentivized to seek resources and power in pursuit of their objectives. Other researchers point out that RL agents need not have human-like…
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…
All-pay auctions, a common mechanism for various human and agent interactions, suffers, like many other mechanisms, from the possibility of players' failure to participate in the auction. We model such failures, and fully characterize…
Motivated by posted price auctions where buyers are grouped in an unknown number of latent types characterized by their private values for the good on sale, we investigate revenue maximization in stochastic dynamic pricing when the…
We study an equilibrium-based continuous asset pricing problem for the securities market. In the previous work [16], we have shown that a certain price process, which is given by the solution to a forward backward stochastic differential…
Prediction markets are a popular, prominent, and successful structure for a collective intelligence platform. However the exact mechanism by which information known to the participating traders is incorporated into the market price is…
Market makers provide liquidity to other market participants: they propose prices at which they stand ready to buy and sell a wide variety of assets. They face a complex optimization problem with both static and dynamic components. They…
We investigate the extent to which price updates can increase the revenue of a seller with little prior information on demand. We study prior-free revenue maximization for a seller with unlimited supply of n item types facing m myopic…
Cooperation through repetition is an important theme in game theory. In this regard, various celebrated ``folk theorems'' have been proposed for repeated games in increasingly more complex environments. There has, however, been insufficient…
We revisit the well-studied problem of budget-feasible procurement, where a buyer with a strict budget constraint seeks to acquire services from a group of strategic providers (the sellers). During the last decade, several strategyproof…
We study revenue optimization in a repeated auction between a single seller and a single buyer. Traditionally, the design of repeated auctions requires strong modeling assumptions about the bidder behavior, such as it being myopic, infinite…
In a satisficing equilibrium each agent $i$ plays one of her top $k_i$ actions in response to the actions of the other agents. Our concept unifies models of bounded rationality and yields predictions that differ from canonical solution…
We study the price of anarchy of mechanisms in the presence of risk-averse agents. Previous work has focused on agents with quasilinear utilities, possibly with a budget. Our model subsumes this as a special case but also captures that…
We study a recommendation system where sellers compete for visibility by strategically offering commissions to a platform that optimally curates a ranked menu of items and their respective prices for each customer. Customers interact…
Data regulations increasingly enable consumers to switch among market segments, making segmentation an endogenous outcome of strategic interaction. We study a model in which consumers choose segments before a monopolist sets…
We develop a tractable equilibrium model for price formation in intraday electricity markets in the presence of intermittent renewable generation. Using stochastic control theory, we identify the optimal strategies of agents with market…
In this paper we explain the wild fluctuations of financial prices from the intrinsic amplifying feedback of speculative supply and demand. Formally, we show that an asset return follows a multiplicative random growth with exogenous input,…
Many auction settings implicitly or explicitly require that bidders are treated equally ex-ante. This may be because discrimination is philosophically or legally impermissible, or because it is practically difficult to implement or…
A seller chooses a reserve price in a second-price auction to maximize worst-case expected revenue when she knows only the mean of value distribution and an upper bound on either values themselves or variance. Values are private and iid.…
In online advertising, search engines sell ad placements for keywords continuously through auctions. This problem can be seen as an infinitely repeated game since the auction is executed whenever a user performs a query with the keyword. As…