Related papers: Constrained Trading Networks
We focus on the one-to-one two-sided matching model with two disjoint sets of agents of equal size, where each agent in a set has preferences on the agents in the other set modeled by a linear order. A matching mechanism associates a set of…
This paper develops algorithms to solve strong-substitutes product-mix auctions. That is, it finds competitive equilibrium prices and quantities for agents who use this auction's bidding language to truthfully express their…
This paper characterizes equilibrium properties of a broad class of economic models that allow multiple heterogeneous agents to interact in heterogeneous manners across several markets. Our key contribution is a new theorem providing…
We present here a regress later based Monte Carlo approach that uses neural networks for pricing high-dimensional contingent claims. The choice of specific architecture of the neural networks used in the proposed algorithm provides for…
We consider a market consisting of one safe and one risky asset, which offer constant investment opportunities. Taking into account both proportional transaction costs and linear price impact, we derive optimal rebalancing policies for…
Assignment markets involve matching with transfers, as in labor markets and housing markets. We consider a two-sided assignment market with agent types and stochastic structure similar to models used in empirical studies, and characterize…
Horizontal agreements can fall within the scope of exemptions to antitrust competition if they are expected to create pro-consumer benefits. Inspired by such horizontal agreements, we introduce a cooperative game in which a set of transport…
We discuss risked competitive partial equilibrium in a setting in which agents are endowed with coherent risk measures. In contrast to socialplanning models, we show by example that risked equilibria are not unique, even when agents'…
A hypothetical risk-neutral agent who trades to maximize the expected profit of the next trade will approximately exhibit long-term optimal behavior as long as this agent uses the vector $p = \nabla V (t, x)$ as effective microstructure…
We study problems arising in real-time auction markets, common in e-commerce and computational advertising, where bidders face the problem of calculating optimal bids. We focus upon a contract management problem where a demand aggregator is…
According to the fundamental theorems of welfare economics, any competitive equilibrium is Pareto efficient. Unfortunately, competitive equilibrium prices only exist under strong assumptions such as perfectly divisible goods and convex…
A network effect is introduced taking into account competition, cooperation and mixed-type interaction amongst agents along a generalized Verhulst-Lotka-Volterra model. It is also argued that the presence of a market capacity enforces an…
A Mathematical Program with Equilibrium Constraints (MPEC) is formulated to capture the relationships between multiple Mobility Service Providers (MSPs) and the users of a multi-modal transport network. The network supply structure is…
There are several aspects of data markets that distinguish them from a typical commodity market: asymmetric information, the non-rivalrous nature of data, and informational externalities. Formally, this gives rise to a new class of games…
Recommendation systems when employed in markets play a dual role: they assist users in selecting their most desired items from a large pool and they help in allocating a limited number of items to the users who desire them the most. Despite…
This paper investigates the problem of single-source multicasting over a communication network in the presence of restricted adversaries. When the adversary is constrained to operate only on a prescribed subset of edges, classical cut-set…
A fertile area of recent research has demonstrated concrete polynomial time lower bounds for solving natural hard problems on restricted computational models. Among these problems are Satisfiability, Vertex Cover, Hamilton Path, Mod6-SAT,…
We introduce a system of kinetic equations describing an exchange market consisting of two populations of agents (dealers and speculators) expressing the same preferences for two goods, but applying different strategies in their exchanges.…
In this paper, a distributed convex optimization framework is developed for energy trading between islanded microgrids. More specifically, the problem consists of several islanded microgrids that exchange energy flows by means of an…
This paper proposes a novel continuous Local Flexibility Market where active power flexibility located in the distribution system can be traded. The market design engages the Market Operator, the Distribution System Operator and Market…