Related papers: Collusive Outcomes Without Collusion
Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least qualitatively. The dynamics of market…
We present a novel agent-based approach to simulating an over-the-counter (OTC) financial market in which trades are intermediated solely by market makers and agent visibility is constrained to a network topology. Dynamics, such as changes…
Motivated by the prevalence of prediction problems in the economy, we study markets in which firms sell models to a consumer to help improve their prediction. Firms decide whether to enter, choose models to train on their data, and set…
In financial markets, the order flow, defined as the process assuming value one for buy market orders and minus one for sell market orders, displays a very slowly decaying autocorrelation function. Since orders impact prices, reconciling…
Network effects are the added value derived solely from the popularity of a product in an economic market. Using agent-based models inspired by statistical physics, we propose a minimal theory of a competitive market for (nearly)…
We study multi-product monopoly pricing where the seller jointly designs the selling mechanism and the information structure for the buyer to learn his values. Unlike the case with exogenous information, we show that when the seller…
Online platforms increasingly rely on sequential decision-making algorithms to allocate resources, match users, or control exposure, while facing growing pressure to ensure fairness over time. We study a general online decision-making…
Matching algorithms have demonstrated great success in several practical applications, but they often require centralized coordination and plentiful information. In many modern online marketplaces, agents must independently seek out and…
Many real-world combinatorial problems involve uncertain parameters, which can be predicted given contextual features and historical data. These `predict-then-optimize' or `contextual optimization' problems have gained significant…
In this paper, we propose an equilibrium pricing model in a dynamic multi-period stochastic framework with uncertain income streams. In an incomplete market, there exist two traded risky assets (e.g. stock/commodity and weather derivative)…
We revisit the problem of designing strategyproof mechanisms for allocating divisible items among two agents who have linear utilities, where payments are disallowed and there is no prior information on the agents' preferences. The…
We show that a competitive equilibrium always exists in combinatorial auctions with anonymous graphical valuations and pricing, using discrete geometry. This is an intuitive and easy-to-construct class of valuations that can model both…
In this paper, we derive and analyze a continuous of a binary option market with exogenous information. The resulting non-linear system has a discontinuous right hand side, which can be analyzed using zero-dimensional Filippov surfaces.…
Dynamic pricing schemes were introduced as an alternative to posted-price mechanisms. In contrast to static models, the dynamic setting allows to update the prices between buyer-arrivals based on the remaining sets of items and buyers, and…
In an infinitely repeated general-sum pricing game, independent reinforcement learners may exhibit collusive behavior without any communication, raising concerns about algorithmic collusion. To better understand the learning dynamics, we…
In this paper, we introduce a novel, non-recursive, maximal matching algorithm for double auctions, which aims to maximize the amount of commodities to be traded. It differs from the usual equilibrium matching, which clears a market at the…
In many markets, like electricity or cloud computing markets, providers incur large costs for keeping sufficient capacity in reserve to accommodate demand fluctuations of a mostly fixed user base. These costs are significantly affected by…
Agent-based models provide a constructive approach to studying emergent dynamics in life-like systems composed of interacting, adaptive agents. Financial markets serve as a canonical example of such systems, where collective price dynamics…
Many of the observations we make are biased by our decisions. For instance, the demand of items is impacted by the prices set, and online checkout choices are influenced by the assortments presented. The challenge in decision-making under…
This paper develops a model for option market making in which the hedging activity of the market maker generates price impact on the underlying asset. The option order flow is modeled by Cox processes, with intensities depending on the…