Related papers: Optimal auction duration: A price formation viewpo…

This paper studies mechanism design for auctions with externalities on budgets, a novel setting where the budgets that bidders commit are adjusted due to the externality of the competitors' allocation outcomes-a departure from traditional…

Market participants regularly send bid and ask quotes to exchange-operated limit order books. This creates an optimization challenge where their potential profit is determined by their quoted price and how often their orders are…

We consider a market where a finite number of players trade an asset whose supply is a stochastic process. The price formation problem consists of finding a price process that ensures that when agents act optimally to minimize their trading…

This paper studies the optimal risk-averse timing to sell a risky asset. The investor's risk preference is described by the exponential, power, or log utility. Two stochastic models are considered for the asset price -- the geometric…

We study the problem of designing revenue-maximizing auctions for allocating multiple goods to flexible consumers. In our model, each consumer is interested in a subset of goods known as its flexibility set and wants to consume one good…

In the present paper, we study the optimal execution problem under stochastic price recovery based on limit order book dynamics. We model price recovery after execution of a large order by accelerating the arrival of the refilling order,…

We study procurement auctions, where an auctioneer seeks to acquire services from strategic sellers with private costs. The quality of services is measured by a submodular function known to the auctioneer. Our goal is to design…

In this paper we explore optimal liquidation in a market populated by a number of heterogeneous market makers that have limited inventory-carrying and risk-bearing capacity. We derive a reduced form model for the dynamic of their aggregated…

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.…

Motivated by applications where a system must remain operational via continual procurement of contracts, we study two online contract selection problems under uncertain prices. At each time step, a price drawn from a known distribution is…

In a discrete-time financial market model with instantaneous price impact, we find an asymptotically optimal strategy for an investor maximizing her expected wealth. The asset price is assumed to follow a process with negative memory. We…

We study auction design when a seller relies on machine-learning predictions of bidders' valuations that may be unreliable. Motivated by modern ML systems that are often accurate but occasionally fail in a way that is essentially…

Given a finite set of European call option prices on a single underlying, we want to know when there is a market model which is consistent with these prices. In contrast to previous studies, we allow models where the underlying trades at a…

Crowdsourcing has become an important tool to collect data for various artificial intelligence applications and auction can be an effective way to allocate work and determine reward in a crowdsourcing platform. In this paper, we focus on…

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…

Auctions are modeled as Bayesian games with continuous type and action spaces. Determining equilibria in auction games is computationally hard in general and no exact solution theory is known. We introduce an algorithmic framework in which…

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 consider a sequential decision-making setting where, at every round $t$, a market maker posts a bid price $B_t$ and an ask price $A_t$ to an incoming trader (the taker) with a private valuation for one unit of some asset. If the trader's…

We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Markovian queueing system. Through its analytical…

In this article we revisit the classic problem of tatonnement in price formation from a microstructure point of view, reviewing a recent body of theoretical and empirical work explaining how fluctuations in supply and demand are slowly…