Related papers: Robust double auction mechanisms
I construct a novel random double auction as a robust bilateral trading mechanism for a profit-maximizing intermediary who facilitates trade between a buyer and a seller. It works as follows. The intermediary publicly commits to charging a…
We study mechanism design when agents may have hidden secondary goals which will manifest as non-trivial preferences among outcomes for which their primary utility is the same. We show that in such cases, a mechanism is robust against…
We study robust mechanisms to sell a common-value good. We assume that the mechanism designer knows the prior distribution of the buyers' common value but is unsure of the buyers' information structure about the common value. We use linear…
Robust mechanism design is a rising alternative to Bayesian mechanism design, which yields designs that do not rely on assumptions like full distributional knowledge. We apply this approach to mechanisms for selling a single item, assuming…
We consider a model of bilateral trade with private values. The value of the buyer and the cost of the seller are jointly distributed. The true joint distribution is unknown to the designer, however, the marginal distributions of the value…
Since economic mechanisms are often applied to very different instances of the same problem, it is desirable to identify mechanisms that work well in a wide range of circumstances. We pursue this goal for a position auction setting and…
A seller wants to sell an item to $n$ buyers. Buyer valuations are drawn i.i.d. from a distribution unknown to the seller; the seller only knows that the support is included in $[a, b]$. To be robust, the seller chooses a DSIC mechanism…
In practice, auction data are often endogenously censored and anonymous, revealing only limited outcome statistics rather than full bid profiles. We study robust auction design when the seller observes only aggregated, anonymous order…
Classical Bayesian mechanism design relies on the common prior assumption, but such prior is often not available in practice. We study the design of prior-independent mechanisms that relax this assumption: the seller is selling an…
Posted price mechanisms are prevalent in allocating goods within online marketplaces due to their simplicity and practical efficiency. We explore a fundamental scenario where buyers' valuations are independent and identically distributed,…
An indivisible object may be sold to one of $n$ agents who know their valuations of the object. The seller would like to use a revenue-maximizing mechanism but her knowledge of the valuations' distribution is scarce: she knows only the…
Most modern financial markets use a continuous double auction mechanism to store and match orders and facilitate trading. In this paper we develop a microscopic dynamical statistical model for the continuous double auction under the…
We study a seller who sells a single good to multiple bidders with uncertainty over the joint distribution of bidders' valuations, as well as bidders' higher-order beliefs about their opponents. The seller only knows the (possibly…
In the standard single-dimensional model of position auctions, bidders agree on the relative values of the positions and each of them submits a single bid that is interpreted in terms of these values. Motivated by current practice in…
This paper is devoted to a study of robust fundamental theorems of asset pricing in discrete time and finite horizon settings. Uncertainty is modelled by a (possibly uncountable) family of price processes on the same probability space. Our…
We perform a simulation-based analysis of keyword auctions modeled as one-shot games of incomplete information to study a series of mechanism design questions. Our first question addresses the degree to which incentive compatibility fails…
We consider dynamic pricing schemes in online settings where selfish agents generate online events. Previous work on online mechanisms has dealt almost entirely with the goal of maximizing social welfare or revenue in an auction settings.…
A seller wants to sell a good to a set of bidders using a credible mechanism. We show that when the seller has private information about her cost, it is impossible for a static mechanism to achieve the optimal revenue. In particular, even…
I study the design of auctions in which the auctioneer is assumed to have information only about the marginal distribution of a generic bidder's valuation, but does not know the correlation structure of the joint distribution of bidders'…
We study auctions that are robust at any scale, i.e., they can be applied to sell both expensive and cheap items and achieve the best multiplicative approximations of the optimal revenue in the worst case. We show that the optimal mechanism…