Related papers: Random Double Auction: A Robust Bilateral Trading …
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,…
We propose a series of simple models for the microstructure of a double auction market without intermediaries. We specialize to those markets, such interdealer broker markets, which are dominated by professional traders, who trade mainly…
Diffusion auction design is a new trend in mechanism design for which the main goal is to incentivize existing buyers to invite new buyers, who are their neighbors on a social network, to join an auction even though they are competitors.…
We consider the classical linear assignment problem, and we introduce new auction algorithms for its optimal and suboptimal solution. The algorithms are founded on duality theory, and are related to ideas of competitive bidding by persons…
With the recent technological feasibility of electronic commerce over the Internet, much attention has been given to the design of electronic markets for various types of electronically-tradable goods. Such markets, however, will normally…
We efficiently solve the optimal multi-dimensional mechanism design problem for independent bidders with arbitrary demand constraints when either the number of bidders is a constant or the number of items is a constant. In the first…
Duality for robust hedging with proportional transaction costs of path dependent European options is obtained in a discrete time financial market with one risky asset. Investor's portfolio consists of a dynamically traded stock and a static…
A seminal theorem of Myerson and Satterthwaite (1983) proves that, in a game of bilateral trade between a single buyer and a single seller, no mechanism can be simultaneously individually-rational, budget-balanced, incentive-compatible and…
Real-Time Bidding is a new Internet advertising system that has become very popular in recent years. This system works like a global auction where advertisers bid to display their impressions in the publishers' ad slots. The most popular…
We develop a general duality-theory framework for revenue maximization in additive Bayesian auctions. The framework extends linear programming duality and complementarity to constraints with partial derivatives. The dual system reveals the…
We study the problem of mechanism design for allocating a set of indivisible items among agents with private preferences on items. We are interested in such a mechanism that is strategyproof (where agents' best strategy is to report their…
Situations where a group of agents come together to jointly buy a resource that they individually cannot afford to buy are commonly observed in markets. For example in the US market for radio spectrum, a recent proposal invited small firms…
Setting an effective reserve price for strategic bidders in repeated auctions is a central question in online advertising. In this paper, we investigate how to set an anonymous reserve price in repeated auctions based on historical bids in…
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…
The seminal impossibility result of Myerson and Satterthwaite (1983) states that for bilateral trade, there is no mechanism that is individually rational (IR), incentive compatible (IC), weakly budget balanced, and efficient. This has led…
A large fraction of online advertisement is sold via repeated second price auctions. In these auctions, the reserve price is the main tool for the auctioneer to boost revenues. In this work, we investigate the following question: Can…
This paper describes a study of agent bidding strategies, assuming combinatorial valuations for complementary and substitutable goods, in three auction environments: sequential auctions, simultaneous auctions, and the Trading Agent…
Dynamic pricing schemes were introduced as an alternative to posted-price mechanisms. In contrast to static models, the dynamic setting allows to update the prices between buyer-arrivals based on the remaining sets of items and buyers, and…
We provide efficient estimation methods for first- and second-price auctions under independent (asymmetric) private values and partial observability. Given a finite set of observations, each comprising the identity of the winner and the…
Emek et al. presented a model of probabilistic single-item second price auctions where an auctioneer who is informed about the type of an item for sale, broadcasts a signal about this type to uninformed bidders. They proved that finding the…