Related papers: Contingent Fees in Order Flow Auctions
Algorithms increasingly automate bidding in online auctions, raising concerns about tacit bid suppression and revenue shortfalls. Prior work identifies individual mechanisms behind algorithmic bid suppression, but it remains unclear which…
We consider dynamic pricing schemes in online settings where selfish agents generate online events. Previous work on online mechanisms has dealt almost entirely with the goal of maximizing social welfare or revenue in an auction settings.…
In this paper we study dynamic pricing mechanism of contingent claims. A typical model of such pricing mechanism is the so-called g-expectation $E^g_{s,t}[X]$ defined by the solution of the backward stochastic differential equation with…
An online auction waterfall for an ad impression may contain auctions that are unlikely to result in a winning bid. Instead of always running through the full auction sequence, one could reduce the transaction cost by predicting and…
Under proportional transaction costs, a price process is said to have a consistent price system, if there is a semimartingale with an equivalent martingale measure that evolves within the bid-ask spread. We show that a continuous,…
We consider the problem of designing prices for public transport where payment enforcing is done through random inspection of passengers' tickets as opposed to physically blocking their access. Passengers are fully strategic such that they…
We study a setting where agents use no-regret learning algorithms to participate in repeated auctions. \citet{kolumbus2022auctions} showed, rather surprisingly, that when bidders participate in second-price auctions using no-regret bidding…
We study the problem of regret minimization for a single bidder in a sequence of first-price auctions where the bidder discovers the item's value only if the auction is won. Our main contribution is a complete characterization, up to…
We propose a combinatorial ascending auction that is "approximately" optimal, requiring minimal rationality to achieve this level of optimality, and is robust to strategic and distributional uncertainties. Specifically, the auction is…
We study the design of mechanisms -- e.g., auctions -- when the designer does not control information flows between mechanism participants. A mechanism equilibrium is leakage-proof if no player conditions their actions on leaked…
Despite the fact that an intraday market price distribution is not normal, the random walk model of price behaviour is as important for the understanding of basic principles of the market as the pendulum model is a starting point of many…
We study the problem of the execution of a moderate size order in an illiquid market within the framework of a solvable Markovian model. We suppose that in order to avoid impact costs, a trader decides to execute her order through a unique…
Online auctions have expanded rapidly over the last decade and have become a fascinating new type of business or commercial transaction in this digital era. Here we introduce a master equation for the bidding process that takes place in…
This paper studies one emerging procurement auction scenario where the market is constructed over the social networks. In a social network composed of many agents, smartphones or computers, one requester releases her requirement for goods…
We initiate the study of how auction design affects the division of surplus among buyers. We propose a parsimonious measure for equity and apply it to the family of standard auctions for homogeneous goods. Our surplus-equitable mechanism is…
In online advertising markets, budget-constrained advertisers acquire ad placements through repeated bidding in auctions on various platforms. We present a strategy for bidding optimally in a set of auctions that may or may not be…
We study a seller who sells a single good to multiple bidders with uncertainty over the joint distribution of bidders' valuations, as well as bidders' higher-order beliefs about their opponents. The seller only knows the (possibly…
Triangle fees are a novel fee structure for AMMs, in which marginal fees are decreasing in a trade's size. That decline is proportional to the movement in the AMM's implied price, i.e. for every basis point the trade moves the ratio of…
Although the growth of share-based payments with performance conditions (hereafter, SPPC) is prominent today, the theoretical price of SPPC has not been sufficiently studied. Reflecting such a situation, the current accounting standards for…
We show that the cost of market orders and the profit of infinitesimal market-making or -taking strategies can be expressed in terms of directly observable quantities, namely the spread and the lag-dependent impact function. Imposing that…