Related papers: Identification of Auction Models Using Order Stati…
We study dynamic mechanisms for optimizing revenue in repeated auctions, that are robust to heterogeneous forward-looking and learning behavior of the buyers. Typically it is assumed that the buyers are either all myopic or are all infinite…
In financial markets, the order flow, defined as the process assuming value one for buy market orders and minus one for sell market orders, displays a very slowly decaying autocorrelation function. Since orders impact prices, reconciling…
We study the identification and estimation of structural parameters in dynamic panel data logit models where decisions are forward-looking and the joint distribution of unobserved heterogeneity and observable state variables is…
Can stated preferences help in counterfactual analyses of actual choice? This research proposes a novel approach to researchers who have access to both stated choices in hypothetical scenarios and actual choices. The key idea is to use…
Online A/B testing, the gold standard for evaluating new advertising policies, consumes substantial engineering resources and risks significant revenue loss from deploying underperforming variations. This motivates the use of Off-Policy…
In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…
In empirical studies, the data usually don't include all the variables of interest in an economic model. This paper shows the identification of unobserved variables in observations at the population level. When the observables are distinct…
In this paper, we examine identification in dynamic panel logit models with state dependence, a first-order Markov feedback process, and individual unobserved heterogeneity by introducing sufficient statistics for the feedback process and…
We study multidimensional mechanism design in a common scenario where players have private information about their willingness to pay and their ability to pay. We provide a complete characterization of dominant-strategy incentive-compatible…
A seller with one unit of a good faces N\geq3 buyers and a single competitor who sells one other identical unit in a second-price auction with a reserve price. Buyers who do not get the seller's good will compete in the competitor's…
In many natural settings agents participate in multiple different auctions that are not simultaneous. In such auctions, future opportunities affect strategic considerations of the players. The goal of this paper is to develop a quantitative…
We study a phenomenological model for the continuous double auction, equivalent to two independent $M/M/1$ queues. The continuous double auction defines a continuous-time random walk for trade prices. The conditions for ergodicity of the…
Bidding in simultaneous auctions is challenging because an agent's value for a good in one auction may depend on the uncertain outcome of other auctions: the so-called exposure problem. Given the gap in understanding of general simultaneous…
We study how to enable auctions in the big data context to solve many upcoming data-based decision problems in the near future. We consider the characteristics of the big data including, but not limited to, velocity, volume, variety, and…
Designing an incentive compatible auction that maximizes expected revenue is a central problem in Auction Design. While theoretical approaches to the problem have hit some limits, a recent research direction initiated by Duetting et al.…
One of the most important empirical findings in microeconometrics is the pervasiveness of heterogeneity in economic behaviour (cf. Heckman 2001). This paper shows that cumulative distribution functions and quantiles of the nonparametric…
We consider an online ad network problem in which an ad exchange auctions ad slots and intermediaries called demand side platforms (DSPs) buy these ad slots for their clients (advertisers). An intermediary represents multiple advertisers.…
We present a general framework for designing approximately revenue-optimal mechanisms for multi-item additive auctions, which applies to both truthful and non-truthful auctions. Given a (not necessarily truthful) single-item auction format…
Nonignorable missing outcomes are common in real world datasets and often require strong parametric assumptions to achieve identification. These assumptions can be implausible or untestable, and so we may forgo them in favour of partially…
We study the design of mechanisms -- e.g., auctions -- when the designer does not control information flows between mechanism participants. A mechanism equilibrium is leakage-proof if no player conditions their actions on leaked…