Related papers: How to design a derivatives market?
We study a market mechanism that sets edge prices to incentivize strategic agents to efficiently share limited network capacity. In this market, agents form coalitions, with each coalition sharing a unit capacity of a selected route and…
Prediction markets show considerable promise for developing flexible mechanisms for machine learning. Here, machine learning markets for multivariate systems are defined, and a utility-based framework is established for their analysis. This…
We investigate the problem of pricing and hedging derivatives of Electricity Futures contract when the underlying asset is not available. We propose to use a cross hedging strategy based on the Futures contract covering the larger delivery…
Several models for the pricing of derivative securities in illiquid markets are discussed. A typical type of nonlinear partial differential equations arising from these investigation is studied. The scaling properties of these equations are…
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…
Electricity market mechanisms designed to steer sustainable generation of electricity play an important role for the energy transition intended to mitigate climate change. One of the major problems is to complement volatile renewable energy…
On-line firms deploy suites of software platforms, where each platform is designed to interact with users during a certain activity, such as browsing, chatting, socializing, emailing, driving, etc. The economic and incentive structure of…
The option is a financial derivative, which is regularly employed in reducing the risk of its underlying securities. However, investing in option is still risky. Such risk becomes much severer for speculators who utilize option as a means…
This paper studies a delegation problem faced by the planner who wants to regulate receivers' reaction choices in markets for matching between receivers and senders with signaling. We provide a noble insight into the planner's willingness…
There are various undergoing efforts by system operators to set up an electricity market at the distribution level to enable a rapid and widespread deployment of distributed energy resources (DERs) and microgrids. This paper follows the…
We consider the design of private prediction markets, financial markets designed to elicit predictions about uncertain events without revealing too much information about market participants' actions or beliefs. Our goal is to design market…
We study a natural application of contract design in the context of sequential exploration problems. In our principal-agent setting, a search task is delegated to an agent. The agent performs a sequential exploration of $n$ boxes, suffers…
We consider mechanisms for markets that are double-sided and have players with multi-dimensional strategic spaces on at least one side. The players of the market are strategic, and act to optimize their own utilities. The mechanism…
We apply Reinforcement Learning algorithms to solve the classic quantitative finance Market Making problem, in which an agent provides liquidity to the market by placing buy and sell orders while maximizing a utility function. The optimal…
This paper proposes a market clearing mechanism for energy trading in a local transactive market, where each player can participate in the market as seller or buyer and tries to maximize its welfare individually. Market players send their…
An agent-based model for financial markets has to incorporate two aspects: decision making and price formation. We introduce a simple decision model and consider its implications in two different pricing schemes. First, we study its…
The objective of this paper is to develop a standardized methodology for software development in the very unique industry and culture of financial markets. The prototyping process we present allows the development team to deliver for review…
In this paper, we propose a mean-field game model for the price formation of a commodity whose production is subjected to random fluctuations. The model generalizes existing deterministic price formation models. Agents seek to minimize…
We present a dynamical model for the price evolution of financial assets. The model is based in a two level structure. In the first stage one finds an agent-based model that describes the present state of the investors' beliefs,…
We investigate mechanism design without payments when agents have different types of preferences. Contrary to most settings in the literature where agents have the same preference, e.g. in the facility location games all agents would like…