Related papers: Optimal make take fees in a multi market maker env…

We develop a model for the industry dynamics in the electricity market, based on mean-field games of optimal stopping. In our model, there are two types of agents: the renewable producers and the conventional producers. The renewable…

We study hidden-action principal-agent problems with multiple agents. These are problems in which a principal commits to an outcome-dependent payment scheme in order to incentivize some agents to take costly, unobservable actions that lead…

We consider an agent who has access to a financial market, including derivative contracts, who looks to maximise her utility. Whilst the agent looks to maximise utility over one probability measure, or class of probability measures, she…

We study how to optimally design selection mechanisms, accounting for agents' investment incentives. A principal wishes to allocate a resource of homogeneous quality to a heterogeneous population of agents. The principal commits to a…

We study the optimal pricing strategies of a monopolist selling a divisible good (service) to consumers that are embedded in a social network. A key feature of our model is that consumers experience a (positive) local network effect. In…

As e-commerce marketplaces continue to grow in popularity, it has become increasingly important to understand the role and impact of marketplace operators on competition and social welfare. We model a marketplace operator as an entity that…

In this paper we show how the relaxation techniques can be used to establish the existence of an optimal contract in presence of information asymmetry. The method we illustrate was initially motivated by the problem of designing optimal…

The role of a market maker is to simultaneously offer to buy and sell quantities of goods, often a financial asset such as a share, at specified prices. An automated market maker (AMM) is a mechanism that offers to trade according to some…

We consider the situation where multiple transportation service providers cooperate to offer an integrated multi-modal platform to enhance the convenience to the passengers through ease in multi-modal journey planning, payment, and first…

New services based on the best-effort paradigm could complement the current deterministic services of an electronic financial exchange. Four crucial aspects of such systems would benefit from a hybrid stance: proper use of processing…

In this work, we study a scenario where a publisher seeks to maximize its total revenue across two sales channels: guaranteed contracts that promise to deliver a certain number of impressions to the advertisers, and spot demands through an…

Environments with fixed adjustment costs such as transaction costs or \lq menu costs\rq$ $ are widespread within economic systems. The presence of fixed minimal adjustment costs produces adjustment stickiness so that agents must choose a…

A contract is an economic tool used by a principal to incentivize one or more agents to exert effort on her behalf, by defining payments based on observable performance measures. A key challenge addressed by contracts -- known in economics…

Electricity markets differ in their ability to meet power imbalances in short notice in a controlled fashion. Relatively flexible markets have the ability to ramp up (or down) power flows across interties without compromising their ability…

We describe a two-stage mechanism that fully implements the set of efficient outcomes in two-agent environments with quasi-linear utilities. The mechanism asks one agent to set prices for each outcome, and the other agent to make a choice,…

A large fraction of total healthcare expenditure occurs due to end-of-life (EOL) care, which means it is important to study the problem of more carefully incentivizing necessary versus unnecessary EOL care because this has the potential to…

Trading algorithms that execute large orders are susceptible to exploitation by order anticipation strategies. This paper studies the influence of order anticipation strategies in a multi-investor model of optimal execution under transient…

We study the optimal mechanism design problem faced by a market intermediary who makes revenue by connecting buyers and sellers. We first show that the optimal intermediation protocol has substantial structure: it is the solution to an…

This work focuses on the mathematical study of constant function market makers. We rigorously establish the conditions for optimal trading under the assumption of a quasilinear, but not necessarily convex (or concave), trade function. This…

We study a dynamic market setting where an intermediary interacts with an unknown large sequence of agents that can be either sellers or buyers: their identities, as well as the sequence length $n$, are decided in an adversarial, online…