Related papers: Verified Double Sided Auctions for Financial Marke…
Bipartite matching, where agents on one side of a market are matched to agents or items on the other, is a classical problem in computer science and economics, with widespread application in healthcare, education, advertising, and general…
Convex duality for two two different super--replication problems in a continuous time financial market with proportional transaction cost is proved. In this market, static hedging in a finite number of options, in addition to usual dynamic…
Deploying mathematical optimization in autonomous production systems requires precise contracts for objects returned by an optimization solver. Unfortunately, conventions on dual solution and infeasibility certificates (rays) vary widely…
In recent years, blockchain has gained widespread attention as an emerging technology for decentralization, transparency, and immutability in advancing online activities over public networks. As an essential market process, auctions have…
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…
A fundamental problem for electronic commerce is the buying and selling of digital goods between individuals that may not know or trust each other. Traditionally, this problem has been addressed by the use of trusted third-parties such as…
This paper proposes a simple descriptive model of discrete-time double auction markets for divisible assets. As in the classical models of exchange economies, we consider a finite set of agents described by their initial endowments and…
Algorithmic Mechanism Design attempts to marry computation and incentives, mainly by leveraging monetary transfers between designer and selfish agents involved. This is principally because in absence of money, very little can be done to…
We propose a new library to model and verify hardware circuits in the Coq proof assistant. This library allows one to easily build circuits by following the usual pen-and-paper diagrams. We define a deep-embedding: we use a (dependently…
The prevalence and importance of algorithmic two-sided marketplaces has drawn attention to the issue of fairness in such settings. Algorithmic decisions are used in assigning students to schools, users to advertisers, and applicants to job…
We consider the impact of fairness requirements on the social efficiency of truthful mechanisms for trade, focusing on Bayesian bilateral-trade settings. Unlike the full information case in which all gains-from-trade can be realized and…
We study two-sided many-to-one matching markets with transferable utilities, e.g., labor and rental housing markets, in which money can exchange hands between agents, subject to distributional constraints on the set of feasible allocations.…
Exploring complex adaptive financial trading environments through multi-agent based simulation methods presents an innovative approach within the realm of quantitative finance. Despite the dominance of multi-agent reinforcement learning…
This paper unifies two foundational constructs from economics and algorithmic game theory, the Arctic Auction and the linear Fisher market, to address the efficient allocation of differentiated goods in complex markets. Our main…
The development of the Internet of Things (IoT) generates a significant amount of data that contains valuable knowledge for system operations and business opportunities. Since the data is the property of the IoT data owners, the access to…
This paper addresses the computational challenges of learning strong substitutes demand when given access to a demand (or valuation) oracle. Strong substitutes demand generalises the well-studied gross substitutes demand to a multi-unit…
Sponsored search auctions constitute one of the most successful applications of microeconomic mechanisms. In mechanism design, auctions are usually designed to incentivize advertisers to bid their truthful valuations and to assure both the…
We prove a general duality result for multi-stage portfolio optimization problems in markets with proportional transaction costs. The financial market is described by Kabanov's model of foreign exchange markets over a finite probability…
Periodic Double Auctions (PDAs) are commonly used in the real world for trading, e.g. in stock markets to determine stock opening prices, and energy markets to trade energy in order to balance net demand in smart grids, involving trillions…
Two related online problems: knapsack and truthful bipartite matching are considered. For these two problems, the common theme is how to `match' an arriving left vertex in an online fashion with any of the available right vertices, if at…