Related papers: Constrained Trading Networks
Electricity market operators worldwide use mixed-integer linear programming to solve the allocation problem in wholesale electricity markets. Prices are typically determined based on the duals of relaxed versions of this optimization…
We consider a two-way trading problem, where investors buy and sell a stock whose price moves within a certain range. Naturally they want to maximize their profit. Investors can perform up to $k$ trades, where each trade must involve the…
We study overpricing in a repeated game between two representative agents: a market maker, who controls market liquidity, and a market taker, who chooses trade quantities. Market prices evolve through the endogenous price impact of trades…
A net in $\mathbb{P}^2$ is a configuration of lines $\mathcal A$ and points $X$ satisfying certain incidence properties. Nets appear in a variety of settings, ranging from quasigroups to combinatorial design to classification of Kac-Moody…
Bilateral trade models the problem of facilitating trades between a seller and a buyer having private valuations for the item being sold. In the online version of the problem, the learner faces a new seller and buyer at each time step, and…
We propose a new forward electricity market framework that admits heterogeneous market participants with second-order cone strategy sets, who accurately express the nonlinearities in their costs and constraints through conic bids, and a…
Over the past few years, the futures market has been successfully developing in the North-West region. Futures markets are one of the most effective and liquid-visible trading mechanisms. A large number of buyers are forced to compete with…
We investigate brokerage between traders from an online learning perspective. At any round $t$, two traders arrive with their private valuations, and the broker proposes a trading price. Unlike other bilateral trade problems already studied…
We study financial systems from a game-theoretic standpoint. A financial system is represented by a network, where nodes correspond to firms, and directed labeled edges correspond to debt contracts between them. The existence of cycles in…
We consider mechanisms for markets that are double-sided and have players with multi-dimensional strategic spaces on at least one side. The players of the market are strategic, and act to optimize their own utilities. The mechanism…
We present a methodology for representing probabilistic relationships in a general-equilibrium economic model. Specifically, we define a precise mapping from a Bayesian network with binary nodes to a market price system where consumers and…
Capacitated network bargaining games are popular combinatorial games that involve the structure of matchings in graphs. We show that it is always possible to stabilize unit-weight instances of this problem (that is, ensure that they admit a…
Cross-group externalities and network effects in two-sided platform markets shape market structure and competition policy, and are the subject of extensive study. Less understood are the within-group externalities that arise when the…
We establish a variant of Monge--Kantorovich duality for a constrained optimal transport problem with a continuum of agents, a finite set of alternatives, and general linear constraints. As an application, we revisit the large-market model…
We study the role of contextual information in the online learning problem of brokerage between traders. In this sequential problem, at each time step, two traders arrive with secret valuations about an asset they wish to trade. The learner…
This paper initiates a study into the century-old issue of market predictability from the perspective of computational complexity. We develop a simple agent-based model for a stock market where the agents are traders equipped with simple…
Two-sided marketplaces embody heterogeneity in incentives: producers seek exposure while consumers seek relevance, and balancing these competing objectives through constrained optimization is now a standard practice. Yet real platforms face…
Classic no-trade theorems attribute trade to heterogeneous beliefs. We re-examine this conclusion for AI agents, asking if trade can arise from computational limitations, under common beliefs. We model agents' bounded computational…
We consider a one-sided assignment market or exchange network with transferable utility and propose a model for the dynamics of bargaining in such a market. Our dynamical model is local, involving iterative updates of 'offers' based on…
We consider a network of sellers, each selling a single product, where the graph structure represents pair-wise complementarities between products. We study how the network structure affects revenue and social welfare of equilibria of the…