Related papers: Verified Double Sided Auctions for Financial Marke…
We study the problem of designing a two-sided market (double auction) to maximize the gains from trade (social welfare) under the constraints of (dominant-strategy) incentive compatibility and budget-balance. Our goal is to do so for an…
Auctions are important mechanisms extensively implemented in various markets, e.g., search engines' keyword auctions, antique auctions, etc. Finding an optimal auction mechanism is extremely difficult due to the constraints of imperfect…
In this paper, we study online double auctions, where multiple sellers and multiple buyers arrive and depart dynamically to exchange one commodity. We show that there is no deterministic online double auction that is truthful and…
In this study, we developed a computational framework for simulating large-scale agent-based financial markets. Our platform supports trading multiple simultaneous assets and leverages distributed computing to scale the number and…
Matching markets are of particular interest in computer science and economics literature as they are often used to model real-world phenomena where we aim to equitably distribute a limited amount of resources to multiple agents and…
This paper investigates the problem of proportionally fair double sided energy auction involving buying and selling agents. The grid is assumed to be operating under islanded mode. A distributed auction algorithm that can be implemented by…
Digital marketplaces processing billions of dollars annually represent critical infrastructure in sociotechnical ecosystems, yet their performance optimization lacks principled measurement frameworks that can inform algorithmic governance…
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 develop a novel optimization model to maximize the profit of a Demand-Side Platform (DSP) while ensuring that the budget utilization preferences of the DSP's advertiser clients are adequately met. Our model is highly flexible and can be…
The ultimate value of theories of the fundamental mechanisms comprising the asset price in financial systems will be reflected in the capacity of such theories to understand these systems. Although the models that explain the various states…
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 the problem of designing optimal auctions under restrictions on the set of permissible allocations. In addition to allowing us to restrict to deterministic mechanisms, we can also indirectly model non-additive valuations. We prove…
Double Auction enables decentralized transfer of goods between multiple buyers and sellers, thus underpinning functioning of many online marketplaces. Buyers and sellers compete in these markets through bidding, but do not often know their…
In sponsored search, a number of advertising slots is available on a search results page, and have to be allocated among a set of advertisers competing to display an ad on the page. This gives rise to a bipartite matching market that is…
We study how to maximize the broker's (expected) profit in a two-sided market, where she buys items from a set of sellers and resells them to a set of buyers. Each seller has a single item to sell and holds a private value on her item, and…
Common programming tools, like compilers, debuggers, and IDEs, crucially rely on the ability to analyse program code to reason about its behaviour and properties. There has been a great deal of work on verifying compilers and static…
Machine learning (especially reinforcement learning) methods for trading are increasingly reliant on simulation for agent training and testing. Furthermore, simulation is important for validation of hand-coded trading strategies and for…
We study the bilateral trade problem: one seller, one buyer and a single, indivisible item for sale. It is well known that there is no fully-efficient and incentive compatible mechanism for this problem that maintains a balanced budget. We…
We study blockchain trade-intent auctions, which currently intermediate about USD 10 billion in trades each month. These auctions are combinatorial because executing multiple trade intents jointly generates additional efficiencies. However,…
Truthful spectrum auctions have been extensively studied in recent years. Truthfulness makes bidders bid their true valuations, simplifying greatly the analysis of auctions. However, revealing one's true valuation causes severe privacy…