Related papers: Optimal auction duration: A price formation viewpo…
We consider a simple model for the evolution of a limit order book in which limit orders of unit size arrive according to independent Poisson processes. The frequencies of buy limit orders below a given price level, respectively sell limit…
We consider the problem of designing revenue-optimal auctions for selling two items and bidders' valuations are independent among bidders but negatively correlated among items. In this paper, we obtain the closed-form optimal auction for…
We study a seller who sells a single good to multiple bidders with uncertainty over the joint distribution of bidders' valuations, as well as bidders' higher-order beliefs about their opponents. The seller only knows the (possibly…
We consider a periodic double auction (PDA) setting where buyers of the auction have multiple (but finite) opportunities to procure multiple but fixed units of a commodity. The goal of each buyer participating in such auctions is to reduce…
We study the efficiency of sequential multiunit auctions with two-buyers and complete information. For general valuation functions, we show that the price of anarchy is exactly $1/T$ for auctions with $T$ items for sale. For concave…
We study a real-time bidding problem resulting from a set of contractual obligations stipulating that a firm win a specified number of heterogeneous impressions or ad placements over a defined duration in a real-time auction. The contracts…
Optimal mechanism design enjoys a beautiful and well-developed theory, and also a number of killer applications. Rules of thumb produced by the field influence everything from how governments sell wireless spectrum licenses to how the major…
We introduce a dynamic mechanism design problem in which the designer wants to offer for sale an item to an agent, and another item to the same agent at some point in the future. The agent's joint distribution of valuations for the two…
Order cancellation process plays a crucial role in the dynamics of price formation in order-driven stock markets and is important in the construction and validation of computational finance models. Based on the order flow data of 18 liquid…
In the seminal paper on optimal execution of portfolio transactions, Almgren and Chriss (2001) define the optimal trading strategy to liquidate a fixed volume of a single security under price uncertainty. Yet there exist situations, such as…
The problem of determining the European-style option price in the incomplete market has been examined within the framework of stochastic optimization. An analytic method based on the discrete dynamic programming equation (Bellman equation)…
In this work we study the optimal execution problem with multiplicative price impact in algorithm trading, when an agent holds an initial position of shares of a financial asset. The inter-selling-decision times are modelled by the arrival…
We consider the problem of a single seller repeatedly selling a single item to a single buyer (specifically, the buyer has a value drawn fresh from known distribution $D$ in every round). Prior work assumes that the buyer is fully rational…
We revisit the problem of designing the profit-maximizing single-item auction, solved by Myerson in his seminal paper for the case in which bidder valuations are independently distributed. We focus on general joint distributions, seeking…
Sellers in online markets face the challenge of determining the right time to sell in view of uncertain future offers. Classical stopping theory assumes that sellers have full knowledge of the value distributions, and leverage this…
At the peak of the tech bubble, only 0.57% of market valuation comes from dividends in the next year. Taking the ratio of total market value to the value of one-year dividends, we obtain a valuation-based duration of 175 years. In contrast,…
This paper addresses the optimal scheduling of the liquidation of a portfolio using a new angle. Instead of focusing only on the scheduling aspect like Almgren and Chriss, or only on the liquidity-consuming orders like Obizhaeva and Wang,…
We study the design of truthful auctions for selling identical items in unlimited supply (e.g., digital goods) to n unit demand buyers. This classic problem stands out from profit-maximizing auction design literature as it requires no…
We employ a natural method from the perspective of the optimal stopping theory to analyze entry-exit decisions with implementation delay of a project, and provide closed expressions for optimal entry decision times, optimal exit decision…
This paper presents a derivation of the explicit price for the perpetual American put option time-capped by the first drawdown epoch beyond a predefined level. We consider the market in which an asset price is described by geometric L\'evy…