Related papers: Efficient allocations in double auction markets

We study a problem of optimal allocation in a discrete-time multi-period pure-exchange economy, where agents have preferences over stochastic endowment processes that are represented by strongly time-consistent dynamic risk measures. We…

The ultimate value of theories of the fundamental mechanisms comprising the asset price in financial systems will be reflected in the capacity of such theories to understand these systems. Although the models that explain the various states…

This study considers a model of the income distribution of agents whose pairwise interaction is asymmetric and price-invariant. Asymmetric transactions are typical for chain-trading groups who arrange their business such that commodities…

In fair division of indivisible goods, using sequences of sincere choices (or picking sequences) is a natural way to allocate the objects. The idea is as follows: at each stage, a designated agent picks one object among those that remain.…

In this paper, we present a new model and two mechanisms for auctions in two-sided markets of buyers and sellers, where budget constraints are imposed on buyers. Our model incorporates polymatroidal environments, and is applicable to a wide…

We consider a bipartite network of buyers and sellers, where the sellers run locally independent Progressive Second-Price (PSP) auctions, and buyers may participate in multiple auctions, forming a multi-auction market with perfect…

Deterministic auctions are attractive in practice due to their transparency, simplicity, and ease of implementation, motivating a sharper understanding of when they can attain the same outcomes as randomized mechanisms. We study…

A double auction game with an infinite number of buyers and sellers is introduced. All sellers posses one unit of a good, all buyers desire to buy one unit. Each seller and each buyer has a private valuation of the good. The distribution of…

We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model,…

Auctions play an important role in electronic commerce, and have been used to solve problems in distributed computing. Automated approaches to designing effective auction mechanisms are helpful in reducing the burden of traditional game…

While auction theory views bids and valuations as continuous variables, real-world auctions are necessarily discrete. In this paper, we use a combination of analytical and computational methods to investigate whether incorporating…

Envy-freeness and Pareto Efficiency are two major goals in welfare economics. The existence of an allocation that satisfies both conditions has been studied for a long time. Whether items are indivisible or divisible, it is impossible to…

A prevalent assumption in auction theory is that the auctioneer has full control over the market and that the allocation she dictates is final. In practice, however, agents might be able to resell acquired items in an aftermarket. A…

We develop a single-period model for a large economic agent who trades with market makers at their utility indifference prices. A key role is played by a pair of conjugate saddle functions associated with the description of Pareto optimal…

This paper presents a stochastic model for discrete-time trading in financial markets where trading costs are given by convex cost functions and portfolios are constrained by convex sets. The model does not assume the existence of a cash…

Market-based mechanisms such as auctions are being studied as an appropriate means for resource allocation in distributed and mulitagent decision problems. When agents value resources in combination rather than in isolation, they must often…

We design novel mechanisms for welfare-maximization in two-sided markets. That is, there are buyers willing to purchase items and sellers holding items initially, both acting rationally and strategically in order to maximize utility. Our…

We consider two sided matching markets consisting of agents with non-transferable utilities; agents from the opposite sides form matching pairs (e.g., buyers-sellers) and negotiate the terms of their math which may include a monetary…

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 define a class of pure exchange Edgeworth trading processes that under minimal assumptions converge to a stable set in the space of allocations, and characterise the Pareto set of these processes. Choosing a specific process belonging to…