Related papers: RTB Formulation Using Point Process
We show an auction-based algorithm to compute market equilibrium prices in a production model, where consumers purchase items under separable nonlinear utility concave functions which satisfy W.G.S(Weak Gross Substitutes); producers produce…
Inspired by the recent developments in the field of Spectrum Auctions, we have tried to provide a comprehensive framework for the complete procedure of Spectrum Licensing. We have identified the various issues the Governments need to decide…
We present an algorithm for computing pure-strategy epsilon-perfect Bayesian equilibria in sequential auctions with continuous action and value spaces. Importantly, our algorithm includes a verification phase that computes an upper bound on…
We propose a real-time nodal pricing mechanism for cost minimization and voltage control in a distribution network with autonomous distributed energy resources and analyze the resulting market using stochastic game theory. Unlike existing…
We generalize the Arbitrage Pricing Theory (APT) to include the contribution of virtual arbitrage opportunities. We model the arbitrage return by a stochastic process. The latter is incorporated in the APT framework to calculate the…
An auction house cannot generally provide the optimal auction technology to every client. Instead it provides one or several auction technologies, and clients select the most appropriate one. For example, eBay provides ascending auctions…
We present a quantum auction protocol using superpositions to represent bids and distributed search to identify the winner(s). Measuring the final quantum state gives the auction outcome while simultaneously destroying the superposition.…
Models of auctions or tendering processes are introduced. In every round of bidding the players select their bid from a probability distribution and whenever a bid is unsuccessful, it is discarded and replaced. For simple models, the…
This paper studies a wireless network where multiple users cooperate with each other to improve the overall network performance. Our goal is to design an optimal distributed power allocation algorithm that enables user cooperation, in…
Real-Time Bidding (RTB) display advertising is a method for purchasing display advertising inventory in auctions that occur within milliseconds. The performance of RTB campaigns is generally measured with a series of Key Performance…
We study reserve price optimization in multi-phase second price auctions, where the seller's prior actions affect the bidders' later valuations through a Markov Decision Process (MDP). Compared to the bandit setting in existing works, the…
When randomness in demand affects the sales of a product, retailers use dynamic pricing strategies to maximize their profits. In this article, we formulate the pricing problem as a continuous-time stochastic optimal control problem and find…
We design a fixed-price auction mechanism for a seller to sell multiple items in a tree-structured market. The buyers have independently drawn valuation from a uniform distribution, and the seller would like to incentivize buyers to invite…
Diffusion auction design for combinatorial settings is a long-standing challenge. One difficulty is that we cannot directly extend the solutions for simpler settings to combinatorial settings (like extending the Vickrey auction to VCG in…
Statistical arbitrage exploits temporal price differences between similar assets. We develop a unifying conceptual framework for statistical arbitrage and a novel data driven solution. First, we construct arbitrage portfolios of similar…
We derive valuations of a portfolio of financial instruments from a securities lending perspective, under different assumptions, and show a weighting scheme that converges to the true valuation. We illustrate conditions under which our…
We study independent private values auction environments in which the auctioneer's revenue depends nonlinearly on bidders' interim winning probabilities. Our framework accommodates heterogeneity among bidders and places no ad hoc…
The recent online platforms propose multiple items for bidding. The state of the art, however, is limited to the analysis of one item auction without resubmission. In this paper we study multi-item lowest unique bid auctions (LUBA) with…
We consider online procurement auctions, where the agents arrive sequentially, in random order, and have private costs for their services. The buyer aims to maximize a monotone submodular value function for the subset of agents whose…
The standard framework of online bidding algorithm design assumes that the seller commits himself to faithfully implementing the rules of the adopted auction. However, the seller may attempt to cheat in execution to increase his revenue if…