Related papers: Estimation of Standard Auction Models
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…
We study revenue variance in the sale of $k$ homogeneous items to risk-neutral, unit-demand bidders with independent private values. Although the Revenue Equivalence Theorem implies that standard auctions generate the same expected revenue,…
We consider a financial market in discrete time and study pricing and hedging conditional on the information available up to an arbitrary point in time. In this conditional framework, we determine the structure of arbitrage-free prices.…
We obtain revenue guarantees for the simple pricing mechanism of a single posted price, in terms of a natural parameter of the distribution of buyers' valuations. Our revenue guarantee applies to the single item n buyers setting, with…
Market-based mechanisms such as auctions are being studied as an appropriate means for resource allocation in distributed and mulitagent decision problems. When agents value resources in combination rather than in isolation, they must often…
Notifications are important for the user experience in mobile apps and can influence their engagement. However, too many notifications can be disruptive for users. A typical mobile app usually has several types of notification, managed by…
We initiate the study of statistical inference and A/B testing for two market equilibrium models: linear Fisher market (LFM) equilibrium and first-price pacing equilibrium (FPPE). LFM arises from fair resource allocation systems such as…
Equilibrium problems in Bayesian auction games can be described as systems of differential equations. Depending on the model assumptions, these equations might be such that we do not have a rigorous mathematical solution theory. The lack of…
We consider the fundamental problem of designing a truthful single-item auction with the challenging objective of extracting a large fraction of the highest agent valuation as revenue. Following a recent trend in algorithm design, we assume…
We study individual rational, Pareto optimal, and incentive compatible mechanisms for auctions with heterogeneous items and budget limits. For multi-dimensional valuations we show that there can be no deterministic mechanism with these…
The Generalized Second Price (GSP) auction is the primary auction used for monetizing the use of the Internet. It is well-known that truthtelling is not a dominant strategy in this auction and that inefficient equilibria can arise. In this…
Tempered stable distributions are frequently used in financial applications (e.g., for option pricing) in which the tails of stable distributions would be too heavy. Given the non-explicit form of the probability density function,…
Budget constraints are ubiquitous in online advertisement auctions. To manage these constraints and smooth out the expenditure across auctions, the bidders (or the platform on behalf of them) often employ pacing: each bidder is assigned a…
Most modern financial markets use a continuous double auction mechanism to store and match orders and facilitate trading. In this paper we develop a microscopic dynamical statistical model for the continuous double auction under the…
Economic data are often contaminated by measurement errors and truncated by ranking. This paper shows that the classical measurement error model with independent and additive measurement errors is identified nonparametrically using only two…
Most recent papers addressing the algorithmic problem of allocating advertisement space for keywords in sponsored search auctions assume that pricing is done via a first-price auction, which does not realistically model the Generalized…
We study the optimal behavior of a bidder in a real-time auction subject to the requirement that a specified collections of heterogeneous items be acquired within given time constraints. The problem facing this bidder is cast as a…
In sponsored search, a number of advertising slots is available on a search results page, and have to be allocated among a set of advertisers competing to display an ad on the page. This gives rise to a bipartite matching market that is…
The progressive second-price auction of Lazar and Semret is a decentralized mechanism for the allocation and real-time pricing of a divisible resource. Our focus is on how delays in the receipt of bid messages, asynchronous analysis by…
We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model,…