Related papers: Optimal Robust Mechanism in Bilateral Trading

A monopolist seller of multiple goods screens a buyer whose type is initially unknown to both but drawn from a commonly known distribution. The buyer privately learns about his type via a signal. We derive the seller's optimal mechanism in…

We study the classic bilateral trade setting. Myerson and Satterthwaite show that there is no Bayesian incentive compatible and budget-balanced mechanism that obtains the gains from trade of the first-best mechanism. Consider the…

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…

Algorithmic trading relies on machine learning models to make trading decisions. Despite strong in-sample performance, these models often degrade when confronted with evolving real-world market regimes, which can shift dramatically due to…

The problem of designing a profit-maximizing, Bayesian incentive compatible and individually rational mechanism with flexible consumers and costly heterogeneous supply is considered. In our setup, each consumer is associated with a…

Classical Bayesian mechanism design relies on the common prior assumption, but such prior is often not available in practice. We study the design of prior-independent mechanisms that relax this assumption: the seller is selling an…

Using duality theory techniques we derive simple, closed-form formulas for bounding the optimal revenue of a monopolist selling many heterogeneous goods, in the case where the buyer's valuations for the items come i.i.d. from a uniform…

A seller is selling a pair of divisible complementary goods to an agent. The agent consumes the goods only in a specific ratio and freely disposes of excess in either goods. The value of the bundle and the ratio are private information of…

We consider the problem of designing an expected-revenue maximizing mechanism for allocating multiple non-perishable goods of $k$ varieties to flexible consumers over $T$ time steps. In our model, a random number of goods of each variety…

Generating good revenue is one of the most important problems in Bayesian auction design, and many (approximately) optimal dominant-strategy incentive compatible (DSIC) Bayesian mechanisms have been constructed for various auction settings.…

When selling many goods with independent valuations, we develop a distributionally robust framework, consisting of a two-player game between seller and nature. The seller has only limited knowledge about the value distribution. The seller…

We study the problem of designing mechanisms when agents' valuation functions are drawn from unknown and correlated prior distributions. In particular, we are given a prior distribution $\D$, and we are interested in designing a (truthful)…

We study the robust double auction mechanisms, that is, the double auction mechanisms that satisfy dominant strategy incentive compatibility, ex-post individual rationality and ex-post budget balance. We first establish that the price in…

We study revenue maximization by deterministic mechanisms for the simplest case for which Myerson's characterization does not hold: a single seller selling two items, with independently distributed values, to a single additive buyer. We…

Optimal mechanisms have been provided in quite general multi-item settings, as long as each bidder's type distribution is given explicitly by listing every type in the support along with its associated probability. In the implicit setting,…

We study the two-agent single-item bilateral trade. Ideally, the trade should happen whenever the buyer's value for the item exceeds the seller's cost. However, the classical result of Myerson and Satterthwaite showed that no mechanism can…

The existing literature on optimal auctions focuses on optimizing the expected revenue of the seller, and is appropriate for risk-neutral sellers. In this paper, we identify good mechanisms for risk-averse sellers. As is standard in the…

In multi-item screening, optimal selling mechanisms are challenging to characterize and implement, even with full knowledge of valuation distributions. In this paper, we aim to develop tractable, interpretable, and implementable mechanisms…

We consider the bilateral trade problem, in which two agents trade a single indivisible item. It is known that the only dominant-strategy truthful mechanism is the fixed-price mechanism: given commonly known distributions of the buyer's…

Bilateral trade models the task of intermediating between two strategic agents, a seller and a buyer, willing to trade a good for which they hold private valuations. We study this problem from the perspective of a broker, in a regret…