Related papers: Competitive equilibrium and the double auction

Digital marketplaces processing billions of dollars annually represent critical infrastructure in sociotechnical ecosystems, yet their performance optimization lacks principled measurement frameworks that can inform algorithmic governance…

We consider design of monetary mechanisms for two-sided matching. Mechanisms in the tradition of the deferred acceptance algorithm, even in variants incorporating money, tend to focus on the criterion of stability. Instead, in this work we…

Building on the linear programming approach to competitive equilibrium pricing, we develop a general method for constructing iterative auctions that achieve Vickrey-Clarke-Groves (VCG) outcomes. We show how to transform a linear program…

We initiate the study of efficient mechanism design with guaranteed good properties even when players participate in multiple different mechanisms simultaneously or sequentially. We define the class of smooth mechanisms, related to smooth…

We propose a pseudo-market solution to resource allocation problems subject to constraints. Our treatment of constraints is general: including bihierarchical constraints due to considerations of diversity in school choice, or scheduling in…

We study how increasing competition, by making prizes more unequal, affects effort in contests. In a finite type-space environment, we characterize the equilibrium, analyze the effect of competition under linear costs, and identify…

As load varies continuously over time, it is essential to provide continuous-time price signals that accurately reflect supply-demand balance. However, conventional discrete-time economic dispatch fails to capture the intra-temporal…

Motivated by sponsored search auctions, we study multi-unit auctions with budget constraints. In the mechanism we propose, Sort-Cut, understating budgets or values is weakly dominated. Since Sort-Cut's revenue is increasing in budgets and…

Motivated by the problem of market power in electricity markets, we introduced in previous works a mechanism for simplified markets of two agents with linear cost. In standard procurement auctions, the market power resulting from the…

We consider the pricing of derivatives in a setting with trading restrictions, but without any probabilistic assumptions on the underlying model, in discrete and continuous time. In particular, we assume that European put or call options…

We study a continuous-time version of the intermediation model of Grossman and Miller (1988). To wit, we solve for the competitive equilibrium prices at which liquidity takers' demands are absorbed by dealers with quadratic inventory costs,…

We propose a simple statistical-physics-inspired model for the effect of intrinsic fluctuations on supply and demand in markets. The model consists of agents that trade in two types of goods of which the total number is separately…

We consider a package assignment problem with multiple units of indivisible items. The seller can specify preferences over partitions of their supply between buyers as packaging costs. We propose incremental costs together with a graph that…

We study optimal behavior of energy producers under a CO_2 emission abatement program. We focus on a two-player discrete-time model where each producer is sequentially optimizing her emission and production schedules. The game-theoretic…

We propose a dynamical model of price formation on a spatial market where sellers and buyers are placed on the nodes of a graph, and the distribution of the buyers depends on the positions and prices of the sellers. We find that, depending…

We study markets of indivisible items in which price-based (Walrasian) equilibria often do not exist due to the discrete non-convex setting. Instead we consider Nash equilibria of the market viewed as a game, where players bid for items,…

Double auctions are widely used in financial markets, such as those for stocks, derivatives, currencies, and commodities, to match demand and supply. Once all buyers and sellers have placed their trade requests, the exchange determines how…

This paper introduces the concept of perfect monotone equilibrium in Bayesian games, which refines the standard monotone equilibrium by accounting for the possibility of unintended moves (trembling hand) and thereby enhancing robustness to…

In various markets where sellers compete in price, price oscillations are observed rather than convergence to equilibrium. Such fluctuations have been empirically observed in the retail market for gasoline, in airline pricing and in 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…