Related papers: Random Double Auction: A Robust Bilateral Trading …

This paper studies an optimal trading problem that incorporates the trader's market view on the terminal asset price distribution and uninformative noise embedded in the asset price dynamics. We model the underlying asset price evolution by…

This paper studies four trading algorithms of a professional trader at a multilateral trading facility, observing a realistic two-sided limit order book whose dynamics are driven by the order book events. The identity of the trader can be…

We consider auctions with N+1 bidders. Of these, N are symmetric and N+1 is "sufficiently strong" relative to the others. The auction is a "tournament" in which the first N players bid to win the right to compete with N+1. The bids of the…

We study the problem of multi-dimensional revenue maximization when selling $m$ items to a buyer that has additive valuations for them, drawn from a (possibly correlated) prior distribution. Unlike traditional Bayesian auction design, we…

Bilateral trade models the task of intermediating between two strategic agents, a seller and a buyer, who wish to trade a good. We study this problem from the perspective of a profit-maximizing broker within an online learning framework,…

All-pay auctions, a common mechanism for various human and agent interactions, suffers, like many other mechanisms, from the possibility of players' failure to participate in the auction. We model such failures, and fully characterize…

I consider a mechanism design problem of selling multiple goods to multiple bidders when the designer has minimal amount of information. I assume that the designer only knows the upper bounds of bidders' values for each good and has no…

Bid shading has become a standard practice in the digital advertising industry, in which most auctions for advertising (ad) opportunities are now of first price type. Given an ad opportunity, performing bid shading requires estimating not…

The design of revenue-maximizing combinatorial auctions, i.e. multi-item auctions over bundles of goods, is one of the most fundamental problems in computational economics, unsolved even for two bidders and two items for sale. In the…

The Combinatorial Multi-Round Ascending Auction (CMRA) is a new auction format used in recent European spectrum auctions. We show that an auction-specific version of truthful bidding leads to an efficient allocation. We then characterize…

This paper develops the theory of mechanism redesign by which an auctioneer can reoptimize an auction based on bid data collected from previous iterations of the auction on bidders from the same market. We give a direct method for…

A double auction game with an infinite number of buyers and sellers is introduced. All sellers posses one unit of a good, all buyers desire to buy one unit. Each seller and each buyer has a private valuation of the good. The distribution of…

Small operators who take part in secondary wireless spectrum markets typically have strict budget limits. In this paper, we study the bidding problem of a budget constrained operator in repeated secondary spectrum auctions. In existing…

We show that the cost of market orders and the profit of infinitesimal market-making or -taking strategies can be expressed in terms of directly observable quantities, namely the spread and the lag-dependent impact function. Imposing that…

This paper addresses the question of how much to bid to maximize the profit when trading in two electricity markets: the hourly Day-Ahead Auction and the quarter-hourly Intraday Auction. For optimal coordinated bidding many price scenarios…

Two general algorithms based on opportunity costs are given for approximating a revenue-maximizing set of bids an auctioneer should accept, in a combinatorial auction in which each bidder offers a price for some subset of the available…

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…

We study the problem of selling a resource through an auction mechanism. The winning buyer in turn develops this resource to generate profit. Two forms of payment are considered: charging the winning buyer a one-time payment, or an initial…

We provide a new, much simplified and straightforward proof to a result of Pavlov [2011] regarding the revenue maximizing mechanism for selling two goods with uniformly i.i.d. valuations over intervals $[c,c+1]$, to an additive buyer. This…

Mechanism design for one-sided markets has been investigated for several decades in economics and in computer science. More recently, there has been an increased attention on mechanisms for two-sided markets, in which buyers and sellers act…