Related papers: Graphical One-Sided Markets with Exchange Costs
We consider the problem of maximizing portfolio value when an agent has a subjective view on asset value which differs from the traded market price. The agent's trades will have a price impact which affect the price at which the asset is…
Two-sided matchings are an important theoretical tool used to model markets and social interactions. In many real life problems the utility of an agent is influenced not only by their own choices, but also by the choices that other agents…
In many two-sided markets, the parties to be matched have incomplete information about their characteristics. We consider the settings where the parties engaged are extremely patient and are interested in long-term partnerships. Hence, once…
We consider a nonlinear pricing environment with private information. We provide profit guarantees (and associated mechanisms) that the seller can achieve across all possible distributions of willingness to pay of the buyers. With a…
This paper develops a new methodology for studying continuous-time Nash equilibrium in a financial market with asymmetrically informed agents. This approach allows us to lift the restriction of risk neutrality imposed on market makers by…
We have studied here the self-organising features of the dynamics of a model market, where the agents `trade' for a single commodity with their money. The model market consists of fixed numbers of economic agents, money supply and…
This paper proposes a two-step framework for techno-economic analysis of a demand-side flexibility service in distribution networks. Step one applies optimization-based modelling to propose a generic problem formulation which determines the…
We study the problem of (approximate) maximin share (MMS) allocation of indivisible items among a set of agents. We focus on the graphical valuation model, previously studied by Christodolou, Fiat, Koutsoupias, and Sgouritsa ("Fair…
This study considers a model of the income distribution of agents whose pairwise interaction is asymmetric and price-invariant. Asymmetric transactions are typical for chain-trading groups who arrange their business such that commodities…
We present a new model for prediction markets, in which we use risk measures to model agents and introduce a market maker to describe the trading process. This specific choice on modelling tools brings us mathematical convenience. The…
We introduce a new framework to model interactions among agents which seek to trade to minimize their risk with respect to some future outcome. We quantify this risk using the concept of risk measures from finance, and introduce a class of…
We examine two-sided markets where players arrive stochastically over time and are drawn from a continuum of types. The cost of matching a client and provider varies, so a social planner is faced with two contending objectives: a) to reduce…
This working paper is divided into two parts. Firstly, we develop a new combined equilibrium model of business land-use, which puts travelers' traffic equilibrium and business companies' competitive location equilibrium into a unified…
We explore stability and fairness considerations in decentralized networked markets with bilateral contracts, building on the trading networks framework [Hatfield et al., 2013]. In our trading network game, we show that a well-defined…
This paper analyzes the problem of assigning weights to edges incrementally in a dynamic complete bipartite graph consisting of producer and consumer nodes. The objective is to minimize the overall cost while satisfying certain constraints.…
Collusion in market pricing is a concept associated with human actions to raise market prices through artificially limited supply. Recently, the idea of algorithmic collusion was put forward, where the human action in the pricing process is…
We present a simple, yet realistic, agent-based model of an electricity market. The proposed model combines the spot and balancing markets with a resolution of one minute, which enables a more accurate depiction of the physical properties…
We consider the Stochastic Matching problem, which is motivated by applications in kidney exchange and online dating. In this problem, we are given an undirected graph. Each edge is assigned a known, independent probability of existence and…
We consider a multivariate financial market with transaction costs and study the problem of finding the minimal initial capital needed to hedge, without risk, European-type contingent claims. The model is similar to the one considered in…
In this paper, we address the optimal control of stochastic matching models on general graphs and single arrivals having fixed arrival rates, as introduced in \cite{MaiMoy16}. On the `N-shaped' graph, by following the dynamic programming…