Related papers: Auction Type Resolution on Smart Derivatives

The Maker Protocol is a decentralized finance application that enables collateralized lending. The application uses open-bid, second-price auctions to complete its loan liquidation process. In this paper, we develop a bidding function for…

Although the iterative double auction has been widely used in many different applications, one of the major problems in its current implementations is that they rely on a trusted third party to handle the auction process. This imposes the…

As computational agents are developed for increasingly complicated e-commerce applications, the complexity of the decisions they face demands advances in artificial intelligence techniques. For example, an agent representing a seller in an…

Smart contracts hold digital coins worth billions of dollars, their security issues have drawn extensive attention in the past years. Towards smart contract vulnerability detection, conventional methods heavily rely on fixed expert rules,…

We study a market model in which the volatility of the stock may jump at a random time from a fixed value to another fixed value. This model was already described in the literature. We present a new approach to the problem, based on partial…

Using tools from spectral analysis, singular and regular perturbation theory, we develop a systematic method for analytically computing the approximate price of a derivative-asset. The payoff of the derivative-asset may be path-dependent.…

Smart contracts are programs stored on a blockchain that run when predetermined conditions are met. However, designing and implementing a smart contract is not trivial since upon deployment on a blockchain, it is no longer possible to…

Auctions have been proposed as a way to provide economic incentives for primary users to dynamically allocate unused spectrum to other users in need of it. Previously proposed schemes do not take into account the fact that the power…

This paper addresses the problem of pricing involved financial derivatives by means of advanced of deep learning techniques. More precisely, we smartly combine several sophisticated neural network-based concepts like differential machine…

Online auction has been very widespread in the recent years. Platform administrators are working hard to refine their auction mechanisms that will generate high profits while maintaining a fair resource allocation. With the advancement of…

Automated negotiation can be an efficient method for resolving conflict and redistributing resources in a coalition setting. Automated negotiation has already seen increased usage in fields such as e-commerce and power distribution in smart…

We study auction design in a setting where agents can communicate over a censorship-resistant broadcast channel like the ones we can implement over a public blockchain. We seek to design credible, strategyproof auctions in a model that…

We revisit the well-studied problem of budget-feasible procurement, where a buyer with a strict budget constraint seeks to acquire services from a group of strategic providers (the sellers). During the last decade, several strategyproof…

The advent of blockchain technology and its adoption across various sectors have raised critical discussions about the need for regulatory mechanisms to ensure consumer protection, maintain financial stability, and address privacy concerns…

In a market with transaction costs, the price of a derivative can be expressed in terms of (preconsistent) price systems (after Kusuoka (1995)). In this paper, we consider a market with binomial model for stock price and discuss how to…

Market-based mechanisms such as auctions are being studied as an appropriate means for resource allocation in distributed and mulitagent decision problems. When agents value resources in combination rather than in isolation, they must often…

We consider the problem of the optimization of bidding strategies in prior-dependent revenue-maximizing auctions, when the seller fixes the reserve prices based on the bid distributions. Our study is done in the setting where one bidder is…

This paper studies the optimal timing to liquidate credit derivatives in a general intensity-based credit risk model under stochastic interest rate. We incorporate the potential price discrepancy between the market and investors, which is…

Traditional combinatorial spectrum auctions mainly rely on fixed bidding and matching processes, which limit participants' ability to adapt their strategies and often result in suboptimal social welfare in dynamic spectrum sharing…

In this research, we develop a trading strategy for the discrete-time optimal liquidation problem of large order trading with different market microstructures in an illiquid market. In this framework, the flow of orders can be viewed as a…