Related papers: Equitable Marketplace Mechanism Design
In many areas of industry and society, e.g., energy, healthcare, logistics, agents collect vast amounts of data that they deem proprietary. These data owners extract predictive information of varying quality and relevance from data…
We consider the problem of dynamic buying and selling of shares from a collection of $N$ stocks with random price fluctuations. To limit investment risk, we place an upper bound on the total number of shares kept at any time. Assuming that…
We study the dynamic pricing problem faced by a broker seeking to learn prices for a large number of credit market securities, such as corporate bonds, government bonds, loans, and other credit-related securities. A major challenge in…
This paper presents an equilibrium model of dynamic trading, learning, and pricing by strategic investors with trading targets and price impact. Since trading targets are private, rebalancers and liquidity providers filter the child order…
Traffic signal controllers play an essential role in today's traffic system. However, the majority of them currently is not sufficiently flexible or adaptive to generate optimal traffic schedules. In this paper we present an approach to…
Electricity markets differ in their ability to meet power imbalances in short notice in a controlled fashion. Relatively flexible markets have the ability to ramp up (or down) power flows across interties without compromising their ability…
We study a data marketplace where a broker intermediates between buyers, who seek to estimate the mean \(\mu\) of an unknown normal distribution \(\Ncal(\mu, \sigma^2)\), and contributors, who can collect data from this distribution at a…
A population of committees of agents that learn by using neural networks is implemented to simulate the stock market. Each committee of agents, which is regarded as a player in a game, is optimised by continually adapting the architecture…
The objective of this paper is to introduce the theory of option pricing for markets with informed traders within the framework of dynamic asset pricing theory. We introduce new models for option pricing for informed traders in complete…
The unpredictability and volatility of the stock market render it challenging to make a substantial profit using any generalised scheme. Many previous studies tried different techniques to build a machine learning model, which can make a…
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…
We consider a model in which a trader aims to maximize expected risk-adjusted profit while trading a single security. In our model, each price change is a linear combination of observed factors, impact resulting from the trader's current…
This paper gives a theoretical model for design and analysis of mechanisms for online marketplaces where a bidding dashboard enables the bid-optimization of long-lived agents. We assume that a good allocation algorithm exists when given the…
As cryptocurrency evolved, new financial instruments, such as lending and borrowing protocols, currency exchanges, fungible and non-fungible tokens (NFT), staking and mining protocols have emerged. A financial ecosystem built on top of a…
We propose a frustrated and disordered many-body model of a stockmarket in which independent adaptive traders can trade a stock subject to the economic law of supply and demand. We show that the typical scaling properties and the correlated…
Much research has been done to analyze the stock market. After all, if one can determine a pattern in the chaotic frenzy of transactions, then they could make a hefty profit from capitalizing on these insights. As such, the goal of our…
Execution algorithms are vital to modern trading, they enable market participants to execute large orders while minimising market impact and transaction costs. As these algorithms grow more sophisticated, optimising them becomes…
Recently, most stock exchanges in the U.S. employ maker-taker fees, in which an exchange pays rebates to traders placing orders in the order book and charges fees to traders taking orders from the order book. Maker-taker fees encourage…
Modern evolvements of the technologies have been leading to a profound influence on the financial market. The introduction of constituents like Exchange-Traded Funds, and the wide-use of advanced technologies such as algorithmic trading,…
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…