Related papers: Matching markets with middlemen under transferable…
We consider a network of prosumers involved in peer-to-peer energy exchanges, with differentiation price preferences on the trades with their neighbors, and we analyze two market designs: (i) a centralized market, used as a benchmark, where…
We consider two-sided matching markets, and study the incentives of agents to circumvent a centralized clearing house by signing binding contracts with one another. It is well-known that if the clearing house implements a stable match and…
For utility maximization problems under proportional transaction costs, it has been observed that the original market with transaction costs can sometimes be replaced by a frictionless "shadow market" that yields the same optimal strategy…
As distributed energy resources (DERs) proliferate, future power system will need new market platforms enabling prosumers to trade various electricity and grid-support products. However, prosumers often exhibit complex, product…
We analyze the efficiency of markets with friction, particularly power markets. We model the market as a dynamic system with $(d_t;\,t\geq 0)$ the demand process and $(s_t;\,t\geq 0)$ the supply process. Using stochastic differential…
This paper proposes a market clearing mechanism for energy trading in a local transactive market, where each player can participate in the market as seller or buyer and tries to maximize its welfare individually. Market players send their…
Budgets play a significant role in real-world sequential auction markets such as those implemented by internet companies. To maximize the value provided to auction participants, spending is smoothed across auctions so budgets are used for…
Two-sided matching markets, environments in which two disjoint groups of agents seek to partner with one another, arise in several contexts. In static, centralized markets where agents know their preferences, standard algorithms can yield a…
We investigate market forces that would lead to the emergence of new classes of players in the sponsored search market. We report a 3-fold diversification triggered by two inherent features of the sponsored search market, namely, capacity…
The effectiveness of utility-maximization techniques for portfolio management relies on our ability to estimate correctly the parameters of the dynamics of the underlying financial assets. In the setting of complete or incomplete financial…
We study a setting where a set of agents engage in pairwise exchanges of freely replicable goods (e.g., digital goods such as data), where two agents grant each other a copy of a good they possess in exchange for a good they lack. Such…
Auction design for the modern advertising market has gained significant prominence in the field of game theory. With the recent rise of auto-bidding tools, an increasing number of advertisers in the market are utilizing these tools for…
We explore the possibility of designing matching mechanisms that can accommodate non-standard choice behavior. We pin down the necessary and sufficient conditions on participants' choice behavior for the existence of stable and incentive…
This paper proposes a market mechanism for multi-interval electricity markets with generator and storage participants. Drawing ideas from supply function bidding, we introduce a novel bid structure for storage participation that allows…
Walrasian equilibrium prices can be said to coordinate markets: They support a welfare optimal allocation in which each buyer is buying bundle of goods that is individually most preferred. However, this clean story has two caveats. First,…
We develop from basic economic principles a continuous-time model for a large investor who trades with a finite number of market makers at their utility indifference prices. In this model, the market makers compete with their quotes for the…
We study the problem of decision-making in the setting of a scarcity of shared resources when the preferences of agents are unknown a priori and must be learned from data. Taking the two-sided matching market as a running example, we focus…
There are several aspects of data markets that distinguish them from a typical commodity market: asymmetric information, the non-rivalrous nature of data, and informational externalities. Formally, this gives rise to a new class of games…
Linear Fisher market is one of the most fundamental economic models. The market is traditionally examined on the basis of individual's price-taking behavior. However, this assumption breaks in markets such as online advertising and…
The implementation of electricity markets based on locational marginal pricing in a multi-settlement process has allowed wholesale competition, with pricing mechanisms that incentivize the optimal allocation of generation, transmission, and…