Related papers: Constant Function Market Making, Social Welfare an…
The paper introduces a new type of constant function market maker, the constant power root market marker. We show that the constant sum (used by mStable), constant product (used by Uniswap and Balancer), constant reserve (HOLD-ing), and…
The effectiveness of utility-maximization techniques for portfolio management relies on our ability to estimate correctly the parameters of the dynamics of the underlying financial assets. In the setting of complete or incomplete financial…
A combinatorial market consists of a set of indivisible items and a set of agents, where each agent has a valuation function that specifies for each subset of items its value for the given agent. From an optimization point of view, the goal…
We consider the problem of designing auctions which maximize consumer surplus (i.e., the social welfare minus the payments charged to the buyers). In the consumer surplus maximization problem, a seller with a set of goods faces a set of…
Motivated by the impact of emerging technologies on toll parks, this paper studies a problem of equilibrium, social welfare, and revenue for an infinite-server queue. More specifically, we assume that a customer's utility consists of a…
We study the problem of social welfare maximization in bilateral trade, where two agents, a buyer and a seller, trade an indivisible item. We consider arguably the simplest form of mechanisms -- the fixed-price mechanisms, where the…
We address an inherent difficulty in welfare-theoretic fair machine learning by proposing an equivalently axiomatically-justified alternative and studying the resulting computational and statistical learning questions. Welfare metrics…
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…
One of the important yet insufficiently studied subjects in fair allocation is the externality effect among agents. For a resource allocation problem, externalities imply that a bundle allocated to an agent may affect the utilities of other…
Recent results, establishing evidence of intractability for such restrictive utility functions as additively separable, piecewise-linear and concave, under both Fisher and Arrow-Debreu market models, have prompted the question of whether we…
We study the problem of a planner who resolves risk-return trade-offs - like financial investment decisions - on behalf of a collective of agents with heterogeneous risk preferences. The planner's objective is a two-stage utility functional…
This paper proposes a novel framework to price energy storage in economic dispatch with a social welfare maximization objective. This framework can be utilized by power system operators to generate default bids for storage or to benchmark…
We consider the problem of helping agents improve by setting short-term goals. Given a set of target skill levels, we assume each agent will try to improve from their initial skill level to the closest target level within reach or do…
We discuss how minimal financial market models can be constructed by bridging the gap between two existing, but incomplete, market models: a model in which a population of virtual traders make decisions based on common global information…
We consider the classic problem of fairly allocating indivisible goods among agents with additive valuation functions and explore the connection between two prominent fairness notions: maximum Nash welfare (MNW) and envy-freeness up to any…
Economic withholding in electricity markets refers to generators bidding higher than their true marginal fuel cost, and is a typical approach to exercising market power. However, existing market designs require storage to design bids…
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 Combinatorial Public Projects, there is a set of projects that may be undertaken, and a set of self-interested players with a stake in the set of projects chosen. A public planner must choose a subset of these projects, subject to a…
Since they were authorized by the U.S. Security and Exchange Commission in 1998, electronic exchanges have boomed, and by 2010 high frequency trading accounted for over 70% of equity trades in the US. Such markets are thought to increase…
Market equilibria of matching markets offer an intuitive and fair solution for matching problems without money with agents who have preferences over the items. Such a matching market can be viewed as a variation of Fisher market, albeit…