Related papers: Optimal auction duration: A price formation viewpo…
A limit order book provides information on available limit order prices and their volumes. Based on these quantities, we give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that…
Two general algorithms based on opportunity costs are given for approximating a revenue-maximizing set of bids an auctioneer should accept, in a combinatorial auction in which each bidder offers a price for some subset of the available…
In markets such as digital advertising auctions, bidders want to maximize value rather than payoff. This is different to the utility functions typically assumed in auction theory and leads to different strategies and outcomes. We refer to…
Recurring auctions are ubiquitous for selling durable assets like artworks and homes, with follow-up auctions held for unsold items. We investigate such auctions theoretically and empirically. Theoretical analysis demonstrates that…
We analyze the problem of how to optimally bid for ad spaces in online ad auctions. For this we consider the general case of multiple ad campaigns with overlapping targeting criteria. In our analysis we first characterize the structure of…
The paper studies the problem of auction design in a setting where the auctioneer accesses the knowledge of the valuation distribution only through statistical samples. A new framework is established that combines the statistical decision…
Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we study the problem of timing buy and then sell an asset subject…
We show, under weaker assumptions than in the previous literature, that a perpetual optimal stopping game always has a value. We also show that there exists an optimal stopping time for the seller, but not necessarily for the buyer.…
The definition of time is still an open question when one deals with high frequency time series. If time is simply the calendar time, prices can be modeled as continuous random processes and values resulting from transactions or given…
The convergence properties of learning dynamics in repeated auctions is a timely and important question, with numerous applications in, e.g., online advertising markets. This work focuses on repeated first-price auctions where bidders with…
We introduce a general framework for continuous-time betting markets, in which a bookmaker can dynamically control the prices of bets on outcomes of random events. In turn, the prices set by the bookmaker affect the rate or intensity of…
We present a method for obtaining approximate solutions to the problem of optimal execution, based on a signature method. The framework is general, only requiring that the price process is a geometric rough path and the price impact…
We consider an agent who needs to buy (or sell) a relatively small amount of asset over some fixed short time interval. We work at the highest frequency meaning that we wish to find the optimal tactic to execute our quantity using limit…
The goal of an auction is to determine commodity prices such that all participants are perfectly happy. Such a solution is called a competitive equilibrium and does not exist in general. For this reason we are interested in solutions which…
Setting an effective reserve price for strategic bidders in repeated auctions is a central question in online advertising. In this paper, we investigate how to set an anonymous reserve price in repeated auctions based on historical bids in…
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…
Consider a trade market with one seller and multiple buyers. The seller aims to sell an indivisible item and maximize their revenue. This paper focuses on a simple and popular mechanism--the fixed-price mechanism. Unlike the standard…
We cast the problem of combinatorial auction design in a Bayesian framework in order to incorporate prior information into the auction process and minimize the number of rounds to convergence. We first develop a generative model of agent…
We present a simple dynamic equilibrium model for an online exchange where both buyers and sellers arrive according to a exogenously defined stochastic process. The structure of this exchange is motivated by the limit order book mechanism…
Many early order flow auction designs handle the payment for orders when they execute on the chain rather than when they are won in the auction. Payments in these auctions only take place when the orders are executed, creating a free option…