Related papers: Walraswap: a solution to uniform price batch aucti…
We consider auctions in which greedy algorithms, paired with first-price or critical-price payment rules, are used to resolve multi-parameter combinatorial allocation problems. We study the price of anarchy for social welfare in such…
In this paper, we introduce a Bayesian revenue-maximizing mechanism design model where the items have fixed, exogenously-given prices. Buyers are unit-demand and have an ordinal ranking over purchasing either one of these items at its given…
We examine the problem of clearing day-ahead electricity market auctions where each bidder, whether a producer or consumer, can specify a minimum profit or maximum payment condition constraining the acceptance of a set of bid curves…
In this paper, we outline a framework for modeling utility-based blockchain-enabled economic systems using Agent Based Modeling (ABM). Our approach is to model the supply dynamics based on metrics of the cryptoeconomy. We then build…
We introduce draft auctions, which is a sequential auction format where at each iteration players bid for the right to buy items at a fixed price. We show that draft auctions offer an exponential improvement in social welfare at equilibrium…
We study the problem of dynamically trading multiple futures contracts with different underlying assets. To capture the joint dynamics of stochastic bases for all traded futures, we propose a new model involving a multi-dimensional scaled…
Small operators who take part in secondary wireless spectrum markets typically have strict budget limits. In this paper, we study the bidding problem of a budget constrained operator in repeated secondary spectrum auctions. In existing…
This paper evaluates market equilibrium under different pricing mechanisms in a two-settlement 100%-renewables electricity market. Given general probability distributions of renewable energy, we establish game-theoretical models to analyze…
Automated Market Makers (AMMs) are a class of smart contracts on Ethereum and other blockchains that "make markets" autonomously. In other words, AMMs stand ready to trade with other market participants that interact with them, at the…
We study an equilibrium-based continuous asset pricing problem for the securities market. In the previous work [16], we have shown that a certain price process, which is given by the solution to a forward backward stochastic differential…
The call auction is a widely used trading mechanism, especially during the opening and closing periods of financial markets. In this paper, we study a standard call auction problem where orders are submitted according to Poisson processes,…
The series-parallel (active) redundancy allocation problem with mixed components (RAP) involves setting reliable objectives for components or subsystems to meet the resource consumption constraint, e.g., the total cost. RAP has been an…
We formulate an equilibrium model of intraday trading in electricity markets. Agents face balancing constraints between their customers consumption plus intraday sales and their production plus intraday purchases. They have continuously…
This survey outlines a general and modular theory for proving approximation guarantees for equilibria of auctions in complex settings. This theory complements traditional economic techniques, which generally focus on exact and optimal…
We introduce the theoretical study of a Platform Equilibrium in a market with unit-demand buyers and unit-supply sellers. Each seller can join a platform and transact with any buyer or remain off-platform and transact with a subset of…
This thesis presents a fundamental rethink of electricity market design at the wholesale and balancing layers. Rather than treating markets as static spot clearing mechanisms, it reframes them as a continuously online, event driven…
Prediction markets allow traders to bet on potential future outcomes. These markets exist for weather, political, sports, and economic forecasting. Within this work we consider a decentralized framework for prediction markets using…
There are several aspects of data markets that distinguish them from a typical commodity market: asymmetric information, the non-rivalrous nature of data, and informational externalities. Formally, this gives rise to a new class of games…
We propose an aggregate notion of non-transferable utility (NTU) stability for decentralized matching markets with fixed prices, where market clearing is achieved through one-sided money burning, which can be interpreted as waiting. Agents…
Most literature surrounding optimal bidding strategies for aggregators in European day-ahead market (DAM) considers only hourly orders. While other order types (e.g., block orders) may better represent the temporal characteristics of…