Related papers: Walraswap: a solution to uniform price batch aucti…
Throttling is a popular method of budget management for online ad auctions in which the platform modulates the participation probability of an advertiser in order to smoothly spend her budget across many auctions. In this work, we…
We consider users which may have renewable energy harvesting devices, or distributed generators. Such users can behave as consumer or producer (hence, we denote them as prosumers) at different time instances. A prosumer may sell the energy…
In mobile edge computing (MEC) systems, users offload computationally intensive tasks to edge servers at base stations. However, with unequal demand across the network, there might be excess demand at some locations and underutilized…
The combinatorial auction (CA) is an efficient mechanism for resource allocation in different fields, including cloud computing. It can obtain high economic efficiency and user flexibility by allowing bidders to submit bids for combinations…
We study $N$-player optimal execution games in an Obizhaeva--Wang model of transient price impact. When the game is regularized by an instantaneous cost on the trading rate, a unique equilibrium exists and we derive its closed form. Whereas…
We study the power of item-pricing as a tool for approximately optimizing social welfare in a combinatorial market. We consider markets with $m$ indivisible items and $n$ buyers. The goal is to set prices to the items so that, when agents…
The successive generations of consensus algorithms have progressively shifted the performance bottleneck of blockchains to the execution layer. While recent works address this by parallelizing transaction execution, they often overlook the…
We propose a decentralized market model in which agents can negotiate bilateral contracts. This builds on a similar, but centralized, model of trading networks introduced by Hatfield et al. in 2013. Prior work has established that…
We consider an online ad network problem in which an ad exchange auctions ad slots and intermediaries called demand side platforms (DSPs) buy these ad slots for their clients (advertisers). An intermediary represents multiple advertisers.…
As an emerging decentralized secure data management platform, blockchain has gained much popularity recently. To maintain a canonical state of blockchain data record, proof-of-work based consensus protocols provide the nodes, referred to as…
Automated market makers, first popularized by Hanson's logarithmic market scoring rule (or LMSR) for prediction markets, have become important building blocks, called 'primitives,' for decentralized finance. A particularly useful primitive…
We introduce a decentralized mechanism for pricing and exchanging alternatives constrained by transaction costs. We characterize the time-invariant solutions of a heat equation involving a (weighted) Tarski Laplacian operator, defined for…
Pricing decisions are often made when market information is still poor. In turn, existing theoretical models often reason about the response of optimal prices to changing market characteristics without exploiting all available information…
This paper investigates how pricing schemes can achieve efficient allocations in blockchain systems featuring multiple transaction queues under a global capacity constraint. I model a capacity-constrained blockchain where users submit…
We consider the resource allocation problem and its numerical solution. The following constructions are demonstrated: 1) Walrasian price-adjustment mechanism for determining the equilibrium; 2) Decentralized role of the prices; 3) Slater's…
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 a Walrasian equilibrium (WE), all bidders are envy-free (EF), meaning that their allocation maximizes their utility; and the market clears (MC), meaning that the price of unallocated goods is zero. EF is desirable to ensure the long-term…
A generalized continuous economic model is proposed for random markets. In this model, agents interact by pairs and exchange their money in a random way. A parameter controls the effectiveness of the transactions between the agents. We show…
We consider the market microstructure of automated market makers (AMMs) from the perspective of liquidity providers (LPs). Our central contribution is a ``Black-Scholes formula for AMMs''. We identify the main adverse selection cost…
We consider the problem of optimal bidding for virtual trading in two-settlement electricity markets. A virtual trader aims to arbitrage on the differences between day-ahead and real-time market prices; both prices, however, are random and…