Related papers: Contingent Fees in Order Flow Auctions
Motivated by online advertising auctions, we study auction design in repeated auctions played by simple Artificial Intelligence algorithms (Q-learning). We find that first-price auctions with no additional feedback lead to tacit-collusive…
In online advertising, a set of potential advertisements can be ranked by a certain auction system where usually the top-1 advertisement would be selected and displayed at an advertising space. In this paper, we show a selection bias issue…
In recent years, a new branch of auction models called diffusion auction has extended the traditional auction into social network scenarios. The diffusion auction models the auction as a networked market whose nodes are potential customers…
American options in a multi-asset market model with proportional transaction costs are studied in the case when the holder of an option is able to exercise it gradually at a so-called mixed (randomised) stopping time. The introduction of…
First-price auctions are one of the most popular mechanisms for selling goods and services, with applications ranging from display advertising to timber sales. Unlike their close cousin, the second-price auction, first-price auctions do not…
We improve the best known competitive ratio (from 1/4 to 1/2), for the online multi-unit allocation problem, where the objective is to maximize the single-price revenue. Moreover, the competitive ratio of our algorithm tends to 1, as the…
We study the dynamics of order flows around large intraday price changes using ultra-high-frequency data from the Shenzhen Stock Exchange. We find a significant reversal of price for both intraday price decreases and increases with a…
Finding a free parking space in a city has become a challenging task over the past decades. A recently proposed auction-based parking assignment can alleviate cruising for parking and also set a market-driven, demand-responsive parking…
We study reserve prices in auctions with independent private values when bidders are expectations-based loss averse. We find that the optimal public reserve price excludes fewer bidder types than under risk neutrality. Moreover, we show…
Reduced installation and operating costs give energy storage systems an opportunity to participate actively and profitably in electricity markets. In addition to providing ancillary services, energy storage systems can also arbitrage…
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…
Display advertising has traditionally been sold via guaranteed contracts -- a guaranteed contract is a deal between a publisher and an advertiser to allocate a certain number of impressions over a certain period, for a pre-specified price…
Differentiable economics -- the use of deep learning for auction design -- has driven progress in the automated design of multi-item auctions with additive or unit-demand valuations. However, little progress has been made for optimal…
We study equilibrium investment into bidding and latency reduction for different sequencing policies. For a batch auction design, we observe that bidders shade bids according to the likelihood that competing bidders land in the current…
Although behavioral economics has demonstrated that there are many situations where rational choice is a poor empirical model, it has so far failed to provide quantitative models of economic problems such as price formation. We make a step…
Setting an effective reserve price for strategic bidders in repeated auctions is a central question in online advertising. In this paper, we investigate how to set an anonymous reserve price in repeated auctions based on historical bids in…
In this work we consider selling items using a sequential first price auction mechanism. We generalize the assumption of conservative bidding to extensive form games (henceforth optimistic conservative bidding), and show that for both…
Approximations to utility indifference prices are provided for a contingent claim in the large position size limit. Results are valid for general utility functions on the real line and semi-martingale models. It is shown that as the…
Blockchain systems come with the promise of being inclusive for a variety of decentralized applications (DApps) that can serve different purposes and have different urgency requirements. Despite this, the transaction fee mechanisms…
Mature internet advertising platforms offer high-level campaign management tools to help advertisers run their campaigns, often abstracting away the intricacies of how each ad is placed and focusing on aggregate metrics of interest to…