Related papers: Transaction Ordering Auctions
A prevalent assumption in auction theory is that the auctioneer has full control over the market and that the allocation she dictates is final. In practice, however, agents might be able to resell acquired items in an aftermarket. A…
We study multi-unit auctions in which bidders have limited knowledge of opponent strategies and values. We characterize optimal prior-free bids; these bids minimize the maximal loss in expected utility resulting from uncertainty surrounding…
We prove the existence of a continuous-time Radner equilibrium with multiple agents and transaction costs. The agents are incentivized to trade towards a targeted number of shares throughout the trading period and seek to maximize their…
We compute equilibrium strategies in multi-stage games with continuous signal and action spaces as they are widely used in the management sciences and economics. Examples include sequential sales via auctions, multi-stage elimination…
Inspired by Internet ad auction applications, we study the problem of allocating a single item via an auction when bidders place very different values on the item. We formulate this as the problem of prior-free auction and focus on…
We study collusion in a second-price auction with two bidders in a dynamic environment. One bidder can make a take-it-or-leave-it collusion proposal, which consists of both an offer and a request of bribes, to the opponent. We show that…
This paper considers the problem of offering a scarce object with a common unobserved quality to strategic agents in a priority queue. Each agent has a private signal over the quality of the object and observes the decisions made by other…
The internet advertising market is a multi-billion dollar industry, in which advertisers buy thousands of ad placements every day by repeatedly participating in auctions. An important and ubiquitous feature of these auctions is the presence…
We introduce a new numerical framework to learn optimal bidding strategies in repeated auctions when the seller uses past bids to optimize her mechanism. Crucially, we do not assume that the bidders know what optimization mechanism is used…
Online auctions are one of the most fundamental facets of the modern economy and power an industry generating hundreds of billions of dollars a year in revenue. Auction theory has historically focused on the question of designing the best…
We are interested in the problem of optimal commitments in rank-and-bid based auctions, a general class of auctions that include first price and all-pay auctions as special cases. Our main contribution is a novel approach to solve for…
In non-truthful auctions such as first-price and all-pay auctions, the independent strategic behaviors of bidders, with the corresponding Bayes-Nash equilibrium notion, are notoriously difficult to characterize and can cause undesirable…
Many auction settings implicitly or explicitly require that bidders are treated equally ex-ante. This may be because discrimination is philosophically or legally impermissible, or because it is practically difficult to implement or…
We construct prior-free auctions with constant-factor approximation guarantees with ordered bidders, in both unlimited and limited supply settings. We compare the expected revenue of our auctions on a bid vector to the monotone price…
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…
In this paper we formulate the fixed budget resource allocation game to understand the performance of a distributed market-based resource allocation system. Multiple users decide how to distribute their budget (bids) among multiple machines…
We argue that contemporary stock market designs are, due to traders' inability to fully express their preferences over the execution times of their orders, prone to latency arbitrage. In turn, we propose a new order type which allows…
Simultaneous ascending auctions present agents with the exposure problem: bidding to acquire a bundle risks the possibility of obtaining an undesired subset of the goods. Auction theory provides little guidance for dealing with this…
All-pay auctions, a common mechanism for various human and agent interactions, suffers, like many other mechanisms, from the possibility of players' failure to participate in the auction. We model such failures, and fully characterize…
There is a pervasive assumption that low latency access to an exchange is a key factor in the profitability of many high-frequency trading strategies. This belief is evidenced by the "arms race" undertaken by certain financial firms to…