Related papers: The Design and Regulation of Exchanges: A Formal A…
We introduce a formal framework for analyzing trades in financial markets. An exchange is where multiple buyers and sellers participate to trade. These days, all big exchanges use computer algorithms that implement double sided auctions to…
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…
We introduce a formal framework for analyzing trades in financial markets. These days, all big exchanges use computer algorithms to match buy and sell requests and these algorithms must abide by certain regulatory guidelines. For example,…
Double sided auctions are widely used in financial markets to match demand and supply. Prior works on double sided auctions have focused primarily on single quantity trade requests. We extend various notions of double sided auctions to…
Continuous double auctions are commonly used to match orders at currency, stock, and commodities exchanges. A verified implementation of continuous double auctions is a useful tool for market regulators as they give rise to automated…
In diffusion auctions, sellers can leverage an underlying social network to broaden participation, thereby increasing their potential revenue. Specifically, sellers can incentivise participants in their auction to diffuse information about…
Auctions are markets with strict regulations governing the information available to traders in the market and the possible actions they can take. Since well designed auctions achieve desirable economic outcomes, they have been widely used…
Using mechanised reasoning we prove that combinatorial Vickrey auctions are soundly specified in that they associate a unique outcome (allocation and transfers) to any valid input (bids). Having done so, we auto-generate verified executable…
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…
Online double auctions (DAs) model a dynamic two-sided matching problem with private information and self-interest, and are relevant for dynamic resource and task allocation problems. We present a general method to design truthful DAs, such…
Auctions are widely used in exchanges to match buy and sell requests. Once the buyers and sellers place their requests, the exchange determines how these requests are to be matched. The two most popular objectives used while determining the…
Mechanism design, a branch of economics, aims to design rules that can autonomously achieve desired outcomes in resource allocation and public decision making. The research on mechanism design using machine learning is called automated…
In this paper, we introduce a novel, non-recursive, maximal matching algorithm for double auctions, which aims to maximize the amount of commodities to be traded. It differs from the usual equilibrium matching, which clears a market at the…
The goal of this paper is to propose a framework for representing and reasoning about the rules governing a combinatorial exchange. Such a framework is at first interest as long as we want to build up digital marketplaces based on auction,…
I construct a novel random double auction as a robust bilateral trading mechanism for a profit-maximizing intermediary who facilitates trade between a buyer and a seller. It works as follows. The intermediary publicly commits to charging a…
Exchange markets are a significant type of market economy, in which each agent holds a budget and certain (divisible) resources available for trading. Most research on equilibrium in exchange economies is based on an environment of…
The ultimate value of theories of the fundamental mechanisms comprising the asset price in financial systems will be reflected in the capacity of such theories to understand these systems. Although the models that explain the various states…
We develop a method using parameterized linear equations to define trading mechanisms in market design models. Our method adeptly addresses challenges arising from factors such as complex endowments or coarse priorities, while offering…
This paper develops algorithms to solve strong-substitutes product-mix auctions. That is, it finds competitive equilibrium prices and quantities for agents who use this auction's bidding language to truthfully express their…
This survey outlines a general and modular theory for proving approximation guarantees for equilibria of auctions in complex settings. This theory complements traditional economic techniques, which generally focus on exact and optimal…