Related papers: Contingent Fees in Order Flow Auctions
We consider the question of whether collusion among bidders (a "bidding ring") can be supported in equilibrium of unrepeated first-price auctions. Unlike previous work on the topic such as that by McAfee and McMillan [1992] and Marshall and…
In many traditional job scheduling settings, it is assumed that one knows the time it will take for a job to complete service. In such cases, strategies such as shortest job first can be used to improve performance in terms of measures such…
Considering that a trader or a trading algorithm interacting with markets during continuous auctions can be modeled by an iterating procedure adjusting the price at which he posts orders at a given rhythm, this paper proposes a procedure…
Financial markets are often modelled as if time were unique and continuous across assets and markets. Financial markets are however asynchronous, order flow is event-driven, and waiting times between events are often random. Many of the…
This paper investigates how pricing schemes can achieve efficient allocations in blockchain systems featuring multiple transaction queues under a global capacity constraint. I model a capacity-constrained blockchain where users submit…
This paper investigates stochastic continuous time contests with a twist: the designer requires that contest participants incur some cost to submit their entries. When the designer wishes to maximize the (expected) performance of the top…
We present different versions of a conjecture which would express that first price mechanisms never work very badly in a very general class of problems. The definitions include most of the problems where there is a principal (seller) who…
In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…
In the Bitcoin system, transaction fees serve as an incentive for blockchain confirmations. In general, a transaction with a higher fee is likely to be included in the next block mined, whereas a transaction with a smaller fee or no fee may…
A micro-scale model is proposed for the evolution of the limit order book. Within this model, the flows of orders (claims) are described by doubly stochastic Poisson processes taking account of the stochastic character of intensities of bid…
Collusion among bidders adversely affects procurement cost and in some cases efficiency, and it seems collusion is more prevalent that we would like. Statistical methods of detecting collusion just using bid data, in a hope to deter future…
In many applications, ads are displayed together with the prices, so as to provide a direct comparison among similar products or services. The price-displaying feature not only influences the consumers' decisions, but also affects the…
We study the problem of designing procurement auctions for the strategic uncapacitated facility location problem: a company needs to procure a set of facility locations in order to serve its customers and each facility location is owned by…
Motivated by the recent popularity of machine learning training services, we introduce a contract design problem in which a provider sells a service that results in an outcome of uncertain quality for the buyer. The seller has a set of…
Unlike consumer goods industry, a high-tech manufacturer (OEM) often amortizes new product development costs over multiple generations, where demand for each generation is based on advance orders and additional uncertain demand. Also, due…
Modeling the impact of the order flow on asset prices is of primary importance to understand the behavior of financial markets. Part I of this paper reported the remarkable improvements in the description of the price dynamics which can be…
This paper presents a synthesis of the theories of portfolio generating functions and option pricing. The theory of portfolio generation is extended to measure the value of portfolios generated by positive C^{2,1} functions of asset prices…
In classic auction theory, reserve prices are known to be effective for improving revenue for the auctioneer against quasi-linear utility maximizing bidders. The introduction of reserve prices, however, usually do not help improve total…
The pricing and hedging of a general class of options (including American, Bermudan and European options) on multiple assets are studied in the context of currency markets where trading is subject to proportional transaction costs, and…
In financial applications, latency advantages -- the ability to make decisions later than others, even without the ability to see what others have done -- can provide individual participants with an edge by allowing them to gather…