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We study a generalization of the model of a dark market due to Duffie-G\^arleanu- Pedersen [6]. Our market is segmented and involves multiple assets. We show that this market has a unique asymptotically stable equilibrium. In order to…
In a recent publication, using a simple two-period model, which is already capable to capture essential non-convex multiperiod bids, Richstein et al. have shown that in the case of optimal bidding, multi-part bidding always ensures a higher…
In this paper we design information elicitation mechanisms for Bayesian auctions. While in Bayesian mechanism design the distributions of the players' private types are often assumed to be common knowledge, information elicitation considers…
We consider an optimal stopping problem with n correlated offers where the goal is to design a (randomized) stopping strategy that maximizes the expected value of the offer in the sequence at which we stop. Instead of assuming to know the…
First price auctions are widely used in government contracts and industrial auctions. In this paper, we consider the Bayesian Nash Equilibrium (BNE) in first price auctions with discrete value distributions. We study the characterization of…
We study the value and the optimal strategies for a two-player zero-sum optimal stopping game with incomplete and asymmetric information. In our Bayesian set-up, the drift of the underlying diffusion process is unknown to one player…
We consider the efficient outcome of a canonical economic market model involving buyers and sellers with independent and identically distributed random valuations and costs, respectively. When the number of buyers and sellers is large, we…
We consider a financial market in which traders potentially face restrictions in trading some of the available securities. Traders are heterogeneous with respect to their beliefs and risk profiles, and the market is assumed thin: traders…
We develop conditions under which individual choices and Walrasian equilibrium prices and allocations can be exactly inferred from finite market data. First, we consider market data that consist of individual demands as prices and incomes…
We examine weak anticipations in discrete-time and continuous-time financial markets consisting of one risk-free asset and multiple risky assets, defining a minimal probability measure associated with the anticipation that does not depend…
The paper studies an oligopolistic equilibrium model of financial agents who aim to share their random endowments. The risk-sharing securities and their prices are endogenously determined as the outcome of a strategic game played among all…
This paper is devoted to the mathematical study of some divergences based on the mutual information well-suited to categorical random vectors. These divergences are generalizations of the "entropy distance" and "information distance". Their…
As markets have digitized, the number of tradable products has skyrocketed. Algorithmically constructed portfolios of these assets now dominate public and private markets, resulting in a combinatorial explosion of tradable assets. In this…
This paper is the continuation of "Pricing with coherent risk" and deals with further applications of coherent risk measures to problems of finance. First, we study the optimization problem. Three forms of this problem are considered.…
This paper investigates the equilibrium interactions between trading targets and private information in a multi-period Kyle (1985) market. There are two investors who each follow dynamic trading strategies: A strategic portfolio rebalancer…
Sequential auctions for identical items with unit-demand, private-value buyers are common and often occur periodically without end, as new bidders replace departing ones. We model bidder uncertainty by introducing a probability that a…
We consider distributed learning problem in games with an unknown cost-relevant parameter, and aim to find the Nash equilibrium while learning the true parameter. Inspired by the social learning literature, we propose a distributed…
A monopolist sells multiple goods to an uninformed buyer. The buyer chooses to learn any one-dimensional linear signal of their values for the goods, anticipating the seller's mechanism. The seller designs an optimal mechanism, anticipating…
In financial markets valuable information is rarely circulated homogeneously, because of time required for information to spread. However, advances in communication technology means that the 'lifetime' of important information is typically…
The design of energy markets is a subject of ongoing debate, particularly concerning the choice between the widely adopted Pay-as-Clear (PC) pricing mechanism and the alternative Pay-as-Bid (PB). These mechanisms determine how energy…