Related papers: Transaction Ordering Auctions
In financial applications, latency advantages -- the ability to make decisions later than others, even without the ability to see what others have done -- can provide individual participants with an edge by allowing them to gather…
High-frequency trading, in both traditional and decentralized markets, induces latency races and redundant order flow as traders spend resources to win time-sensitive opportunities. We show that auctioning artificial time priority can…
We study the equilibria of uniform price auctions where many asymmetric bidders have flat demands up to their respective quantity constraints. We present an iterative procedure that systematically finds an equilibrium outcome as well as an…
In many first-price auctions, bidders face considerable strategic uncertainty: They cannot perfectly anticipate the other bidders' bidding behavior. We propose a model in which bidders do not know the entire distribution of opponent bids…
Traditional auction theory posits that bid value exhibits a positive correlation with the probability of securing the auctioned object in ascending auctions. However, under uncertainty and incomplete information, as is characteristic in…
Equity auctions display several distinctive characteristics in contrast to continuous trading. As the auction time approaches, the rate of events accelerates causing a substantial liquidity buildup around the indicative price. This, in…
We design TimeBoost: a practical transaction ordering policy for rollup sequencers that takes into account both transaction timestamps and bids; it works by creating a score from timestamps and bids, and orders transactions based on this…
In practice, most auction mechanisms are not strategy-proof, so equilibrium analysis is required to predict bidding behavior. In many auctions, though, an exact equilibrium is not known and one would like to understand whether -- manually…
In lowest unique bid auctions, $N$ players bid for an item. The winner is whoever places the \emph{lowest} bid, provided that it is also unique. We use a grand canonical approach to derive an analytical expression for the equilibrium…
Sequential auctions for identical items with unit-demand, private-value buyers are common and often occur periodically without end, as new bidders replace departing ones. We model bidder uncertainty by introducing a probability that a…
We consider the problem of the optimization of bidding strategies in prior-dependent revenue-maximizing auctions, when the seller fixes the reserve prices based on the bid distributions. Our study is done in the setting where one bidder is…
We study sequential procurement auctions where the sellers are provided with a ``best and final offer'' (BAFO) strategy. This strategy allows each seller $i$ to effectively ``freeze'' their price while remaining active in the auction, and…
This paper presents an equilibrium model of dynamic trading, learning, and pricing by strategic investors with trading targets and price impact. Since trading targets are private, rebalancers and liquidity providers filter the child order…
We study the efficiency of sequential first-price item auctions at (subgame perfect) equilibrium. This auction format has recently attracted much attention, with previous work establishing positive results for unit-demand valuations and…
In this work we consider selling items using a sequential first price auction mechanism. We generalize the assumption of conservative bidding to extensive form games (henceforth optimistic conservative bidding), and show that for both…
In this paper, we study sequential auctions with two budget constrained bidders and any number of identical items. All prior results on such auctions consider only two items. We construct a canonical outcome of the auction that is the only…
We study a class of iterative combinatorial auctions which can be viewed as subgradient descent methods for the problem of pricing bundles to balance supply and demand. We provide concrete convergence rates for auctions in this class,…
In a multiple-object auction, every bidder tries to win as many objects as possible with a bidding algorithm. This paper studies position-randomized auctions, which form a special class of multiple-object auctions where a bidding algorithm…
We study equilibria in two-buyer sequential second-price (or first-price) auctions for identical goods. Buyers have weakly decreasing incremental values, and we make a behavioural no-overbidding assumption: the buyers do not bid above their…
In this paper, we analyze a natural learning algorithm for uniform pacing of advertising budgets, equipped to adapt to varying ad sale platform conditions. On the demand side, advertisers face a fundamental technical challenge in automating…