Related papers: The Exchange Problem
This paper studies the timing of trades under mean-reverting price dynamics subject to fixed transaction costs. We solve an optimal double stopping problem to determine the optimal times to enter and subsequently exit the market, when…
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 study an abstract optimal auction problem for a single good or service. This problem includes environments where agents have budgets, risk preferences, or multi-dimensional preferences over several possible configurations of the good…
We study a continuous-time, infinite-horizon dynamic bipartite matching problem. Suppliers arrive according to a Poisson process; while waiting, they may abandon the queue at a uniform rate. Customers on the other hand must be matched upon…
Randomized mechanisms, which map a set of bids to a probability distribution over outcomes rather than a single outcome, are an important but ill-understood area of computational mechanism design. We investigate the role of randomized…
We consider the problem of \emph{optimal matching with queues} in dynamic systems and investigate the value-of-information. In such systems, the operators match tasks and resources stored in queues, with the objective of maximizing the…
We study the minimum-cost metric perfect matching problem under online i.i.d arrivals. We are given a fixed metric with a server at each of the points, and then requests arrive online, each drawn independently from a known probability…
In economics, there are many ways to describe the interaction between a "seller" and a "buyer". The most common one, with which we interact almost every day, is selling for a fixed price. This option is perfect for selling a mass product,…
We use formal methods to specify, design, and monitor continuous double auctions, which are widely used to match buyers and sellers at exchanges of foreign currencies, stocks, and commodities. We identify three natural properties of such…
Duality of linear programming is a standard approach to the classical weighted maximum matching problem. From an economic perspective, the dual variables can be regarded as prices of products and payoffs of buyers in a two-sided matching…
Motivated by applications such as cloud computing, gig platforms, and blockchain auctions, we study optimal selling mechanisms for dynamic markets with stochastic supply and demand. In our model, buyers with private valuations and…
Motivated by the problem of market power in electricity markets, we introduced in previous works a mechanism for simplified markets of two agents with linear cost. In standard procurement auctions, the market power resulting from the…
A classical trading experiment consists of a set of unit demand buyers and unit supply sellers with identical items. Each agent's value or opportunity cost for the item is their private information and preferences are quasi-linear. Trade…
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…
Auctions are markets with strict regulations governing the information available to traders in the market and the possible actions they can take. Since well designed auctions achieve desirable economic outcomes, they have been widely used…
We study the problem of learning a linear model to set the reserve price in an auction, given contextual information, in order to maximize expected revenue from the seller side. First, we show that it is not possible to solve this problem…
Personalization and recommendations are now accepted as core competencies in just about every online setting, ranging from media platforms to e-commerce to social networks. While the challenge of estimating user preferences has garnered…
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,…
We study the problem of finding the optimal bidding strategy for an advertiser in a multi-platform auction setting. The competition on a platform is captured by a value and a cost function, mapping bidding strategies to value and cost…
The Maker Protocol is a decentralized finance application that enables collateralized lending. The application uses open-bid, second-price auctions to complete its loan liquidation process. In this paper, we develop a bidding function for…