Related papers: Adversarial Risk Analysis for First-Price Sealed-B…
Adversarial risk analysis (ARA) is a relatively new area of research that informs decision-making when facing intelligent opponents and uncertain outcomes. It enables an analyst to express her Bayesian beliefs about an opponent's utilities,…
Insider threats entail major security issues in geopolitics, cyber risk management and business organization. The game theoretic models proposed so far do not take into account some important factors such as the organisational culture and…
This paper shows how to identify and estimate the seller's risk parameter in an ascending auction. We consider a semiparametric model where the seller has a parametric utility function (such as CARA or CRRA) and the distribution of bidder…
We study the identification and estimation of first-price auction models where bidders have ambiguity about the valuation distribution and their preferences are represented by maxmin expected utility. When entry is exogenous, the…
In this paper we address the computational feasibility of the class of decision theoretic models referred to as adversarial risk analyses (ARA). These are models where a decision must be made with consideration for how an intelligent…
We study regret minimization in repeated first-price auctions (FPAs), where a bidder observes only the realized outcome after each auction -- win or loss. This setup reflects practical scenarios in online display advertising where the…
We study simple and approximately optimal auctions for agents with a particular form of risk-averse preferences. We show that, for symmetric agents, the optimal revenue (given a prior distribution over the agent preferences) can be…
The first-price auction is popular in practice for its simplicity and transparency. Moreover, its potential virtues grow in complex settings where incentive compatible auctions may generate little or no revenue. Unfortunately, the…
We study actual bidding behavior when a new auction format gets introduced into the marketplace. More specifically, we investigate this question using a novel dataset on internet display advertising auctions that exploits a staggered…
The Combinatorial Multi-Round Ascending Auction (CMRA) is a new auction format used in recent European spectrum auctions. We show that an auction-specific version of truthful bidding leads to an efficient allocation. We then characterize…
The transition of display ad exchanges from second-price auctions (SPA) to first-price auctions (FPA) has raised questions about its impact on revenue. Auction theory predicts the revenue equivalence between these two auction formats.…
First-price auctions are one of the most popular mechanisms for selling goods and services, with applications ranging from display advertising to timber sales. Unlike their close cousin, the second-price auction, first-price auctions do not…
We study reserve prices in auctions with independent private values when bidders are expectations-based loss averse. We find that the optimal public reserve price excludes fewer bidder types than under risk neutrality. Moreover, we show…
Auction has been used to allocate resources or tasks to processes, machines or other autonomous entities in distributed systems. When different bidders have different demands and valuations on different types of resources or tasks, the…
First-price auctions have largely replaced traditional bidding approaches based on Vickrey auctions in programmatic advertising. As far as learning is concerned, first-price auctions are more challenging because the optimal bidding strategy…
Automatic amortized resource analysis (AARA) is a type-based technique for inferring concrete (non-asymptotic) bounds on a program's resource usage. Existing work on AARA has focused on bounds that are polynomial in the sizes of the inputs.…
Motivated by practical concerns in the online advertising industry, we study a bidder subset selection problem in single-item auctions. In this problem, a large pool of candidate bidders have independent values sampled from known prior…
Revenue-optimal auction design is a challenging problem with significant theoretical and practical implications. Sequential auction mechanisms, known for their simplicity and strong strategyproofness guarantees, are often limited by…
We provide a unifying way to analyze how risk aversion changes bidding in auctions by asking which bids become more attractive as bidders become more risk averse. In first-price auctions, under two payoff conditions--winning is never worse…
We propose an empirical method to analyze data from first-price procurements where bidders are asymmetric in their risk-aversion (CRRA) coefficients and distributions of private costs. Our Bayesian approach evaluates the likelihood by…