Related papers: Heavy Tails Make Happy Buyers

We study the problem of achieving high efficiency in iterative combinatorial auctions (ICAs). ICAs are a kind of combinatorial auction where the auctioneer interacts with bidders to gather their valuation information using a limited number…

Developing efficient sequential bidding strategies for repeated auctions is an important practical challenge in various marketing tasks. In this setting, the bidding agent obtains information, on both the value of the item at sale and the…

This article is devoted to the study of tail index estimation based on i.i.d. multivariate observations, drawn from a standard heavy-tailed distribution, i.e. of which 1-d Pareto-like marginals share the same tail index. A multivariate…

We introduce a new class of heavy-tailed distributions for which any weighted average of independent and identically distributed random variables is larger than one such random variable in (usual) stochastic order. We show that many…

The aim of the paper is to show that the presence of one possible type of outliers is not connected to that of heavy tails of the distribution. In contrary, typical situation for outliers appearance is the case of compact supported…

Online double auctions (DAs) model a dynamic two-sided matching problem with private information and self-interest, and are relevant for dynamic resource and task allocation problems. We present a general method to design truthful DAs, such…

Given an arbitrary continuous probability density function, it is introduced a conjugated probability density, which is defined through the Shannon information associated with its cumulative distribution function. These new densities are…

The distribution of returns in financial time series exhibits heavy tails. In empirical studies, it has been found that gaps between the orders in the order book lead to large price shifts and thereby to these heavy tails. We set up an…

Bid shading has become a standard practice in the digital advertising industry, in which most auctions for advertising (ad) opportunities are now of first price type. Given an ad opportunity, performing bid shading requires estimating not…

This paper studies some basic problems in a multiple-object auction model using methodologies from theoretical computer science. We are especially concerned with situations where an adversary bidder knows the bidding algorithms of all the…

We consider the question of whether collusion among bidders (a "bidding ring") can be supported in equilibrium of unrepeated first-price auctions. Unlike previous work on the topic such as that by McAfee and McMillan [1992] and Marshall and…

We study revenue optimization pricing algorithms for repeated posted-price auctions where a seller interacts with a single strategic buyer that holds a fixed private valuation. We show that, in the case when both the seller and the buyer…

Bulow and Klemperer's well-known result states that, in a single-item auction where the $n$ bidders' values are independently and identically drawn from a regular distribution, the Vickrey auction with one additional bidder (a duplicate)…

Motivated by online advertising auctions, we study auction design in repeated auctions played by simple Artificial Intelligence algorithms (Q-learning). We find that first-price auctions with no additional feedback lead to tacit-collusive…

Buyers (e.g., advertisers) often have limited financial and processing resources, and so their participation in auctions is throttled. Changes to auctions may affect bids or throttling and any change may affect what winners pay. This paper…

In this paper we consider a stochastic model of perpetuity-type. In contrast to the classical affine perpetuity model of Kesten [12] and Goldie [8] all discount factors in the model are mutually independent. We prove that the tails of the…

E-commerce platforms usually present an ordered list, mixed with several organic items and an advertisement, in response to each user's page view request. This list, the outcome of ad auction and allocation processes, directly impacts the…

Complements between goods - where one good takes on added value in the presence of another - have been a thorn in the side of algorithmic mechanism designers. On the one hand, complements are common in the standard motivating applications…

I establish nonparametric identification results in first- and second-price auctions when transaction prices are truncated by a binding reserve price under a range of information structures. When the number of potential bidders is fixed and…

Multi-item mechanisms can be very complex offering many different bundles to the buyer that could even be randomized. Such complexity is thought to be necessary as the revenue gaps between randomized and deterministic mechanisms, or…