Related papers: Trading on the Floor after Sweeping the Book
The decision process requires information about the present state of the system, but in economy acquiring data and processing them is an expensive and time consuming process. Therefore the state of the system is measured and announced at…
Strategic agents in incomplete-information environments have a conflicted relationship with uncertainty: it can keep them unpredictable to their opponents, but it must also be overcome to predict the actions of those opponents. We use a…
We argue that an important contributing factor into market inefficiency is the lack of a robust mechanism for the stock price to rise if a company has good earnings, e.g., via buybacks/dividends. Instead, the stock price is prone to…
Information is replicable in that it can be simultaneously consumed and sold to others. We study how resale affects a decentralized market for information. We show that even if the initial seller is an informational monopolist, she captures…
Internet search results are a growing and highly profitable advertising platform. Search providers auction advertising slots to advertisers on their search result pages. Due to the high volume of searches and the users' low tolerance for…
Over-the-counter markets are at the center of the postcrisis global reform of the financial system. We show how the size and structure of such markets can undergo rapid and extensive changes when participants engage in portfolio…
Peer-to-peer (P2P) trading is seen as a viable solution to handle the growing number of distributed energy resources in distribution networks. However, when dealing with large-scale consumers, there are several challenges that must be…
The objective of this paper is to introduce the theory of option pricing for markets with informed traders within the framework of dynamic asset pricing theory. We introduce new models for option pricing for informed traders in complete…
It is suggested to consider long term trends of financial markets as a growth phenomenon. The question that is asked is what conditions are needed for a long term sustainable growth or contraction in a financial market? The paper discuss…
We consider thin incomplete financial markets, where traders with heterogeneous preferences and risk exposures have motive to behave strategically regarding the demand schedules they submit, thereby impacting prices and allocations. We…
Market manipulation is tackled through regulation in traditional markets because of its detrimental effect on market efficiency and many participating financial actors. The recent increase of private retail investors due to new low-fee…
We explore a nuance to 'no arbitrage' in relation to 'information efficiency': acting immediately on an arbitrage is sometimes suboptimal; in such cases optimised trading can suppress the anticipation of predictable risk-outcomes, thereby…
An information broker incentivizes consumers to share their information, while designing an information structure to shape the market segmentation. The information broker is a metaphor for an Internet platform that matches consumers with…
Equity auctions display several distinctive characteristics in contrast to continuous trading. As the auction time approaches, the rate of events accelerates causing a substantial liquidity buildup around the indicative price. This, in…
Innovative auction methods can be exploited to increase profits, with Shubik's famous "dollar auction" perhaps being the most widely known example. Recently, some mainstream e-commerce web sites have apparently achieved the same end on a…
This study investigates the development of an optimal execution strategy through reinforcement learning, aiming to determine the most effective approach for traders to buy and sell inventory within a finite time horizon. Our proposed model…
We use historical data to estimate the potential benefit of speculative techniques for executing Ethereum smart contracts in parallel. We replay transaction traces of sampled blocks from the Ethereum blockchain over time, using a simple…
Resource distribution is a fundamental problem in economic and policy design, particularly when demand and supply are not naturally aligned. Without regulation, wealthier individuals may monopolize this resource, leaving the needs of others…
A common practice in many auctions is to offer bidders an opportunity to improve their bids, known as a Best and Final Offer (BAFO) stage. This final bid can depend on new information provided about either the asset or the competitors. This…
A dynamical model is introduced for the formation of a bullish or bearish trends driving an asset price in a given market. Initially, each agent decides to buy or sell according to its personal opinion, which results from the combination of…