Related papers: Quantifying Price Improvement in Order Flow Auctio…
In markets where algorithmic data processing is increasingly prevalent, recommendation algorithms can substantially affect trade and welfare. We consider a setting in which an algorithm recommends a product based on its value to the buyer…
Motivated by the practical challenge in monitoring the performance of a large number of algorithmic trading orders, this paper provides a methodology that leads to automatic discovery of the causes that lie behind a poor trading…
To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is influenced by the characteristics of the order flow and…
Several recent proposals implicitly or explicitly suggest making use of randomized transaction ordering within a block to mitigate centralization effects and to improve fairness in the Ethereum ecosystem. However, transactions and blocks…
In a combinatorial exchange setting, players place sell (resp. buy) bids on combinations of traded goods. Besides the question of finding an optimal selection of winning bids, the question of how to share the obtained profit is of high…
The Non-Fungible Token (NFT) market in the Ethereum blockchain experienced explosive growth in 2021, with a monthly trade volume reaching \$6 billion in January 2022. However, concerns have emerged about possible wash trading, a form of…
As 6G networks evolve, inter-provider agreements become crucial for dynamic resource sharing and network slicing across multiple domains, requiring on-demand capacity provisioning while enabling trustworthy interaction among diverse…
Lately, Non-Fungible Tokens (NFTs), i.e., uniquely discernible assets on a blockchain, have skyrocketed in popularity by addressing a broad audience. However, the typical NFT auctioning procedures are conducted in various, ad hoc ways,…
We initiate the study of the social welfare loss caused by corrupt auctioneers, both in single-item and multi-unit auctions. In our model, the auctioneer may collude with the winning bidders by letting them lower their bids in exchange for…
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…
Minimizing execution costs for large orders is a fundamental challenge in finance. Firms often depend on brokers to manage their trades due to limited internal resources for optimizing trading strategies. This paper presents a methodology…
Classical optimal auction theory assumes that bids reach the seller directly. We study how this picture changes when a revenue-maximizing intermediary controls access to the seller's auction. Motivated by blockchain auctions, online…
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…
Although machine learning approaches have been widely used in the field of finance, to very successful degrees, these approaches remain bespoke to specific investigations and opaque in terms of explainability, comparability, and…
Flow Matching and Transformer architectures have demonstrated remarkable performance in image generation tasks, with recent work FlowAR [Ren et al., 2024] synergistically integrating both paradigms to advance synthesis fidelity. However,…
Second-price auctions with deposits are frequently used in blockchain environments. An auction takes place on-chain: bidders deposit an amount that fully covers their bid (but possibly exceeds it) in a smart contract. The deposit is used as…
Modeling the impact of the order flow on asset prices is of primary importance to understand the behavior of financial markets. Part I of this paper reported the remarkable improvements in the description of the price dynamics which can be…
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 this paper we introduce a completely continuous and time-variate model of the evolution of market limit orders based on the existence, uniqueness, and regularity of the solutions to a type of stochastic partial differential equations…
We propose a unified mean-field framework that bridges the dynamics of informal financial markets and formal markets governed by Limit Order Books (LOBs). Both settings are modeled as interacting particle systems on a 1D price lattice, with…