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Periodic Double Auctions (PDAs) are commonly used in the real world for trading, e.g. in stock markets to determine stock opening prices, and energy markets to trade energy in order to balance net demand in smart grids, involving trillions…
In real time electricity markets, the objective of generation companies while bidding is to maximize their profit. The strategies for learning optimal bidding have been formulated through game theoretical approaches and stochastic…
Contextual dynamic pricing aims to set personalized prices based on sequential interactions with customers. At each time period, a customer who is interested in purchasing a product comes to the platform. The customer's valuation for the…
We study discrete-time predictable forward processes when trading times do not coincide with performance evaluation times in a binomial tree model for the financial market. The key step in the construction of these processes is to solve a…
We propose a dynamic model of a prediction market in which agents predict the values of a sequence of random vectors. The main result shows that if there are agents who make correct (or asymptotically correct) next-period forecasts, then…
Algorithmic trading in modern financial markets is widely acknowledged to exhibit strategic, game-theoretic behaviors whose complexity can be difficult to model. A recent series of papers (Chriss, 2024b,c,a, 2025) has made progress in the…
Recent literature on online learning has focused on developing adaptive algorithms that take advantage of a regularity of the sequence of observations, yet retain worst-case performance guarantees. A complementary direction is to develop…
This paper addresses the portfolio selection problem for nonlinear law-dependent preferences in continuous time, which inherently exhibit time inconsistency. Employing the method of stochastic maximum principle, we establish verification…
We provide a natural learning process in which a financial trader without a risk receives a gain in case when Stock Market is inefficient. In this process, the trader rationally choose his gambles using a prediction made by a randomized…
Statistical properties of order-driven double-auction markets with Bid-Ask spread are investigated through the dynamical quantities such as response function. We first attempt to utilize the so-called {\it Madhavan-Richardson-Roomans model}…
Follow-The-Regularized-Leader (FTRL) is known as an effective and versatile approach in online learning, where appropriate choice of the learning rate is crucial for smaller regret. To this end, we formulate the problem of adjusting FTRL's…
In this paper, we study the contextual dynamic pricing problem where the market value of a product is linear in its observed features plus some market noise. Products are sold one at a time, and only a binary response indicating success or…
In the optional prisoner's dilemma (OPD), players can choose to cooperate and defect as usual, but can also abstain as a third possible strategy. This strategy models the players' participation in the game and is a relevant aspect in many…
We study the problem of computing a competitive equilibrium with approximately optimal bundles in Fisher markets with separable piecewise-linear concave (SPLC) utility functions, meaning that every buyer receives a $(1-\delta)$-optimal…
Pricing decisions stand out as one of the most critical tasks a company faces, particularly in today's digital economy. As with other business decision-making problems, pricing unfolds in a highly competitive and uncertain environment.…
Traditional pricing paradigms, once dominated by static models and rule-based heuristics, are increasingly being replaced by dynamic, data-driven approaches powered by machine learning algorithms. Despite their growing sophistication, most…
Market equilibria of matching markets offer an intuitive and fair solution for matching problems without money with agents who have preferences over the items. Such a matching market can be viewed as a variation of Fisher market, albeit…
In this work, we study a generalized Fisher market model that incorporates social influence. In this extended model, a buyer's utility depends not only on their own resource allocation but also on the allocations received by their…
We report on new stability conditions for evolutionary dynamics in the context of population games. We adhere to the prevailing framework consisting of many agents, grouped into populations, that interact noncooperatively by selecting…
We study a general class of repeated auctions, such as the ones found in electricity markets, as multi-agent games between the bidders. In such a repeated setting, bidders can adapt their strategies online based on the data observed in the…