Related papers: Pricing with algorithms
We apply Reinforcement Learning algorithms to solve the classic quantitative finance Market Making problem, in which an agent provides liquidity to the market by placing buy and sell orders while maximizing a utility function. The optimal…
In this work we study the optimal execution problem with multiplicative price impact in algorithm trading, when an agent holds an initial position of shares of a financial asset. The inter-selling-decision times are modelled by the arrival…
A fundamental economic question is that of designing revenue-maximizing mechanisms in dynamic environments. This paper considers a simple yet compelling market model to tackle this question, where forward-looking buyers arrive at the market…
We consider Stackelberg pricing games, which are also known as bilevel pricing problems, or combinatorial price-setting problems. This family of problems consists of games between two players: the leader and the follower. There is a market…
We study a natural combinatorial pricing problem for sequentially arriving buyers with equal budgets. Each buyer is interested in exactly one pair of items and purchases this pair if and only if, upon arrival, both items are still available…
We discuss the problem of setting prices in an electronic market that has more than one buyer. We assume that there are self-interested sellers each selling a distinct item that has an associated cost. Each buyer has a submodular valuation…
Matching markets play a prominent role in economic theory. A prime example of such a market is the sponsored search market. Here, as in other markets of that kind, market equilibria correspond to feasible, envy free, and bidder optimal…
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…
Sequential auctions for identical items with unit-demand, private-value buyers are common and often occur periodically without end, as new bidders replace departing ones. We model bidder uncertainty by introducing a probability that a…
In this paper, we address the existence and computation of competitive equilibrium in the transportation market for autonomous carpooling first proposed by [Ostrovsky and Schwarz, 2019]. At equilibrium, the market organizes carpooled trips…
As is well known, many classes of markets have efficient equilibria, but this depends on agents being non-strategic, i.e. that they declare their true demands when offered goods at particular prices, or in other words, that they are…
We address the challenging problem of dynamically pricing complementary items that are sequentially displayed to customers. An illustrative example is the online sale of flight tickets, where customers navigate through multiple web pages.…
We introduce robust learning equilibrium. The idea of learning equilibrium is that learning algorithms in multi-agent systems should themselves be in equilibrium rather than only lead to equilibrium. That is, learning equilibrium is immune…
We study a seller who sells a single good to multiple bidders with uncertainty over the joint distribution of bidders' valuations, as well as bidders' higher-order beliefs about their opponents. The seller only knows the (possibly…
We study a repeated trading problem in which a mechanism designer facilitates trade between a single seller and multiple buyers. Our model generalizes the classic bilateral trade setting to a multi-buyer environment. Specifically, the…
We design a simple ascending-price algorithm to compute a $(1+\varepsilon)$-approximate equilibrium in Arrow-Debreu exchange markets with weak gross substitute (WGS) property, which runs in time polynomial in market parameters and $\log…
We study a market mechanism that sets edge prices to incentivize strategic agents to efficiently share limited network capacity. In this market, agents form coalitions, with each coalition sharing a unit capacity of a selected route and…
In many two-sided markets, the parties to be matched have incomplete information about their characteristics. We consider the settings where the parties engaged are extremely patient and are interested in long-term partnerships. Hence, once…
Nowadays, a significant share of the Business-to-Consumer sector is based on online platforms like Amazon and Alibaba and uses Artificial Intelligence for pricing strategies. This has sparked debate on whether pricing algorithms may tacitly…
We construct an empirically founded model of a repo trade intermediated by two broker-dealers and prove multiple equilibrium and the existence of equilibrium at the joint profit maximizing volume of trade. We then present a smart contract…