Related papers: Contingent Fees in Order Flow Auctions

We consider online procurement auctions, where the agents arrive sequentially, in random order, and have private costs for their services. The buyer aims to maximize a monotone submodular value function for the subset of agents whose…

Most modern ticketing systems rely on a first-come-first-serve or randomized allocation system to determine the allocation of tickets. Such systems has received considerable backlash in recent years due to its inequitable allotment and…

One method to offer some bidders a discount in a first-price auction is to augment their bids when selecting a winner but only charge them their original bids should they win. Another method is to use their original bids to select a winner,…

We consider indifference pricing of contingent claims consisting of payment flows in a discrete time model with proportional transaction costs and under exponential disutility. This setting covers utility maximisation as a special case. A…

We study the optimal placement of advertisements for interactive platforms like conversational AI assistants. Importantly, conversations add a feature absent in canonical search markets -- time. The evolution of a conversation is…

Blockchain-based cryptocurrencies prioritize transactions based on their fees, creating a unique kind of fee market. Empirically, this market has failed to yield stable equilibria with predictable prices for desired levels of service. We…

We study risk-free bidding strategies in combinatorial auctions with incomplete information. Specifically, what is the maximum profit that a complement-free (subadditive) bidder can guarantee in a multi-item combinatorial auction? Suppose…

At the ultra high frequency level, the notion of price of an asset is very ambiguous. Indeed, many different prices can be defined (last traded price, best bid price, mid price,...). Thus, in practice, market participants face the problem…

We consider an outsourcing problem where a software agent procures multiple services from providers with uncertain reliabilities to complete a computational task before a strict deadline. The service consumer requires a procurement strategy…

Intra-day price variations in financial markets are driven by the sequence of orders, called the order flow, that is submitted at high frequency by traders. This paper introduces a novel application of the Sequence Generative Adversarial…

We study the problem of selling a resource through an auction mechanism. The winning buyer in turn develops this resource to generate profit. Two forms of payment are considered: charging the winning buyer a one-time payment, or an initial…

We design TimeBoost: a practical transaction ordering policy for rollup sequencers that takes into account both transaction timestamps and bids; it works by creating a score from timestamps and bids, and orders transactions based on this…

This work introduces a framework for evaluating onchain order flow auctions (OFAs), emphasizing the metric of price improvement. Utilizing a set of open-source tools, our methodology systematically attributes price improvements to specific…

In this article we consider combinatorial markets with valuations only for singletons and pairs of buy/sell-orders for swapping two items in equal quantity. We provide an algorithm that permits polynomial time market-clearing and -pricing.…

We provide a unifying way to analyze how risk aversion changes bidding in auctions by asking which bids become more attractive as bidders become more risk averse. In first-price auctions, under two payoff conditions--winning is never worse…

In an incomplete market setting, we consider two financial agents, who wish to price and trade a non-replicable contingent claim. Assuming that the agents are utility maximizers, we propose a transaction price which is a result of the…

We study a class of manipulations in combinatorial auctions where bidders fundamentally misrepresent what goods they are interested in. Prior work has largely assumed that bidders only submit bids on their bundles of interest, which we call…

Sequential auctions for identical items with unit-demand, private-value buyers are common and often occur periodically without end, as new bidders replace departing ones. We model bidder uncertainty by introducing a probability that a…

Consider the following random process: we are given $n$ queues, into which elements of increasing labels are inserted uniformly at random. To remove an element, we pick two queues at random, and remove the element of lower label (higher…

We study the equilibria of uniform price auctions where many asymmetric bidders have flat demands up to their respective quantity constraints. We present an iterative procedure that systematically finds an equilibrium outcome as well as an…