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The possibility of latency arbitrage in financial markets has led to the deployment of high-speed communication links between distant financial centers. These links are noisy and so there is a need for coding. In this paper, we develop a…
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…
This paper studies Markov perfect equilibria in a repeated duopoly model where sellers choose algorithms. An algorithm is a mapping from the competitor's price to own price. Once set, algorithms respond quickly. Customers arrive randomly…
We study a game between two firms in which each provide a service based on machine learning. The firms are presented with the opportunity to purchase a new corpus of data, which will allow them to potentially improve the quality of their…
We consider the problem of maximizing the gains from trade (GFT) in two-sided markets. The seminal impossibility result by Myerson and Satterthwaite shows that even for bilateral trade, there is no individually rational (IR), Bayesian…
This paper revisits the classic instrument choice problem in a setting with consumption externalities, through the lens of robust mechanism design. A regulator can implement any incentive-compatible policy but is uncertain about how…
Motivated by the emergence of popular service-based two-sided markets where sellers can serve multiple buyers at the same time, we formulate and study the {\em two-sided cost sharing} problem. In two-sided cost sharing, sellers incur…
We study bilateral trade with a broker, where a buyer and seller interact exclusively through the broker. The broker strategically maximizes her payoff through arbitrage by trading with the buyer and seller at different prices. We study…
We study partial information Nash equilibrium between a broker and an informed trader. In this setting, the informed trader, who possesses knowledge of a trading signal, trades multiple assets with the broker in a dealer market.…
In bandwidth allocation, competing agents wish to transmit data along paths of links in a network, and each agent's utility is equal to the minimum bandwidth she receives among all links in her desired path. Recent market mechanisms for…
We consider the problem in which n items arrive to a market sequentially over time, where two agents compete to choose the best possible item. When an agent selects an item, he leaves the market and obtains a payoff given by the value of…
The primary contribution of this paper resides in devising constant-factor approximation guarantees for revenue maximization in two-sided matching markets, under general pairwise rewards. A major distinction between our work and…
We investigate the effects of competition in a problem of resource extraction from a common source with diffusive dynamics. In the symmetric version with identical extraction rates we prove the existence of a Nash equilibrium where the…
There has been substantial recent concern that pricing algorithms might learn to ``collude.'' Supra-competitive prices can emerge as a Nash equilibrium of repeated pricing games, in which sellers play strategies which threaten to punish…
This paper investigates inventory management in a multi channel distribution system consisting of one manufacturer and an arbitrary number of retailers that face stochastic demand. Existence of the pure Nash equilibrium is proved and…
We consider the online problem in which an intermediary trades identical items with a sequence of n buyers and n sellers, each of unit demand. We assume that the values of the traders are selected by an adversary and the sequence is…
We study a natural combinatorial pricing problem for sequentially arriving buyers with equal budgets. Each buyer is interested in exactly one pair of items and purchases this pair if and only if, upon arrival, both items are still available…
We consider a game-theoretic model where individuals compete over a shared failure-prone system or resource. We investigate the effectiveness of a taxation mechanism in controlling the utilization of the resource at the Nash equilibrium…
Today's queueing network systems are more rapidly evolving and more complex than those of even a few years ago. The goal of this paper is to study customers' behavior in an unobservable Markovian M/M/1 queue where consumers have to choose…
Building upon the results in [Hinterm\"uller et al., SIAM J. Optim, '15], generalized Nash equilibrium problems are considered, in which the feasible set of each player is influenced by the decisions of their competitors. This is realized…