Related papers: Statistical Inference and A/B Testing for First-Pr…
We study regret minimization in repeated first-price auctions (FPAs), where a bidder observes only the realized outcome after each auction -- win or loss. This setup reflects practical scenarios in online display advertising where the…
The main goal of this paper is to develop a theory of inference of player valuations from observed data in the generalized second price auction without relying on the Nash equilibrium assumption. Existing work in Economics on inferring…
First-price auctions have largely replaced traditional bidding approaches based on Vickrey auctions in programmatic advertising. As far as learning is concerned, first-price auctions are more challenging because the optimal bidding strategy…
We consider inference on the probability density of valuations in the first-price sealed-bid auctions model within the independent private value paradigm. We show the asymptotic normality of the two-step nonparametric estimator of Guerre,…
First-price auctions have many desirable properties, including uniquely possessing some, like credibility. However, first-price auctions are also inherently non-truthful, and non-truthfulness may result in instability and inefficiencies.…
There is a widespread recent interest in using ideas from statistical physics to model certain types of problems in economics and finance. The main idea is to derive the macroscopic behavior of the market from the random local interactions…
This paper studies an environment of simultaneous, separate, first-price auctions for complementary goods. Agents observe private values of each good before making bids, and the complementarity between goods is explicitly incorporated in…
We present our results on Uniform Price Auctions, one of the standard sealed-bid multi-unit auction formats, for selling multiple identical units of a single good to multi-demand bidders. Contrary to the truthful and economically efficient…
The Generalized Second Price (GSP) auction is the primary auction used for monetizing the use of the Internet. It is well-known that truthtelling is not a dominant strategy in this auction and that inefficient equilibria can arise. In this…
The supply function equilibrium (SFE) is a model for competition in markets where each firm offers a schedule of prices and quantities to face demand uncertainty, and has been successfully applied to wholesale electricity markets. However,…
We study online learning in repeated first-price auctions where a bidder, only observing the winning bid at the end of each auction, learns to adaptively bid in order to maximize her cumulative payoff. To achieve this goal, the bidder faces…
First-price auctions have recently gained significant traction in digital advertising markets, exemplified by Google's transition from second-price to first-price auctions. Unlike in second-price auctions, where bidding one's private…
Budget constraints are ubiquitous in online advertisement auctions. To manage these constraints and smooth out the expenditure across auctions, the bidders (or the platform on behalf of them) often employ pacing: each bidder is assigned a…
We study linear Fisher markets with satiation. In these markets, sellers have earning limits and buyers have utility limits. Beyond natural applications in economics, these markets arise in the context of maximizing Nash social welfare when…
We study the Price of Anarchy of simultaneous first-price auctions for buyers with submodular and subadditive valuations. The current best upper bounds for the Bayesian Price of Anarchy of these auctions are e/(e-1) [Syrgkanis and Tardos…
Auto-bidding has recently become a popular feature in ad auctions. This feature enables advertisers to simply provide high-level constraints and goals to an automated agent, which optimizes their auction bids on their behalf. In this paper,…
In this paper I empirically investigate prediction markets for binary options. Advocates of prediction markets have suggested that asset prices are consistent estimators of the "true" probability of a state of the world being realized. I…
Within the private-values paradigm, we construct a tractable empirical model of equilibrium behavior at first-price auctions when bidders' valuations are potentially dependent, but not necessarily affiliated. We develop a test of…
Inspired by Internet ad auction applications, we study the problem of allocating a single item via an auction when bidders place very different values on the item. We formulate this as the problem of prior-free auction and focus on…
Market equilibrium is one of the most fundamental solution concepts in economics and social optimization analysis. Existing works on market equilibrium computation primarily focus on settings with relatively few buyers. Motivated by this,…