Related papers: Random Double Auction: A Robust Bilateral Trading …
We consider the design of a revenue-optimal mechanism when two items are available to be sold to a single buyer whose valuation is uniformly distributed over an arbitrary rectangle $[c_1,c_1+b_1]\times[c_2,c_2+b_2]$ in the positive…
A central challenge in mechanism design is to develop truthful trade mechanisms that maximize the expected gains-from-trade (GFT) in two-sided markets with strategic agents. As achieving the full GFT is generally impossible, much of the…
In this paper we present and evaluate a general framework for the design of truthful auctions for matching agents in a dynamic, two-sided market. A single commodity, such as a resource or a task, is bought and sold by multiple buyers and…
This paper reexamines the classic problem of revenue maximization in single-item auctions with $n$ buyers under the lens of the robust optimization framework. The celebrated Myerson's mechanism is the format that maximizes the seller's…
We present a two stage auction mechanism that renewable generators (or aggregators) could use to allocate renewable energy among LSEs. The auction is conducted day- ahead. LSEs submit bids specifying their valuation per unit, as well as…
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…
When selling many goods with independent valuations, we develop a distributionally robust framework, consisting of a two-player game between seller and nature. The seller has only limited knowledge about the value distribution. The seller…
Classical optimal auction theory assumes that bids reach the seller directly. We study how this picture changes when a revenue-maximizing intermediary controls access to the seller's auction. Motivated by blockchain auctions, online…
We consider the problem of designing revenue-optimal auctions for selling two items and bidders' valuations are independent among bidders but negatively correlated among items. In this paper, we obtain the closed-form optimal auction for…
We study buyer-optimal procurement mechanisms when quality is contractible. When some costs are borne by every participant of a procurement auction regardless of winning, the classic analysis should be amended. We show that an optimal…
The call auction is a widely used trading mechanism, especially during the opening and closing periods of financial markets. In this paper, we study a standard call auction problem where orders are submitted according to Poisson processes,…
Online double auctions (DAs) model a dynamic two-sided matching problem with private information and self-interest, and are relevant for dynamic resource and task allocation problems. We present a general method to design truthful DAs, such…
We study the price competition in a duopoly with an arbitrary number of buyers. Each seller can offer multiple units of a commodity depending on the availability of the commodity which is random and may be different for different sellers.…
In this paper, we revisit the common claim that double auctions necessarily generate competitive equilibria. We begin by observing that competitive equilibrium has some counterintuitive implications: specifically, it predicts that monotone…
We study the problem of learning revenue-optimal multi-bidder auctions from samples when the samples of bidders' valuations can be adversarially corrupted or drawn from distributions that are adversarially perturbed. First, we prove tight…
It is well-known that optimal (i.e., revenue-maximizing) selling mechanisms in multidimensional type spaces may involve randomization. We obtain conditions under which deterministic mechanisms are optimal for selling two identical,…
We study a robust selling problem where a seller attempts to sell one item to a buyer but is uncertain about the buyer's valuation distribution. Existing literature shows that robust screening provides a stronger theoretical guarantee than…
We provide simple and approximately revenue-optimal mechanisms in the multi-item multi-bidder settings. We unify and improve all previous results, as well as generalize the results to broader cases. In particular, we prove that the better…
Inspired by Internet ad auction applications, we study the problem of allocating a single item via an auction when bidders place very different values on the item. We formulate this as the problem of prior-free auction and focus on…
Pair trading is one of the most effective statistical arbitrage strategies which seeks a neutral profit by hedging a pair of selected assets. Existing methods generally decompose the task into two separate steps: pair selection and trading.…