Related papers: Clearing time randomization and transaction fees f…
Considering that a trader or a trading algorithm interacting with markets during continuous auctions can be modeled by an iterating procedure adjusting the price at which he posts orders at a given rhythm, this paper proposes a procedure…
Flexibility markets can be introduced as a tool for the distribution system operator (DSO) to avoid high costs and public opposition against new network investments. Continuous flexibility markets have the advantage of allowing more…
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…
We consider dynamic pricing schemes in online settings where selfish agents generate online events. Previous work on online mechanisms has dealt almost entirely with the goal of maximizing social welfare or revenue in an auction settings.…
Motivated by online display ad exchanges, we study a setting in which an exchange repeatedly interacts with bidders who have quota, making decisions about which subsets of bidders are called to participate in ad-slot-specific auctions. A…
We propose a model for price formation in financial markets based on clearing of a standard call auction with random orders, and verify its validity for prediction of the daily closing price distribution statistically. The model considers…
We study the problem of repeatedly auctioning off an item to one of $k$ bidders where: a) bidders have a per-round individual rationality constraint, b) bidders may leave the mechanism at any point, and c) the bidders' valuations are…
Designing revenue optimal auctions for selling an item to $n$ symmetric bidders is a fundamental problem in mechanism design. Myerson (1981) shows that the second price auction with an appropriate reserve price is optimal when bidders'…
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,…
Single-shot auctions are commonly used as a means to sell goods, for example when selling ad space or allocating radio frequencies, however devising mechanisms for auctions with multiple bidders and multiple items can be complicated. It has…
In a unified framework we study equilibrium in the presence of an insider having information on the signal of the firm value, which is naturally connected to the fundamental price of the firm related asset. The fundamental value itself is…
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…
We cast the problem of combinatorial auction design in a Bayesian framework in order to incorporate prior information into the auction process and minimize the number of rounds to convergence. We first develop a generative model of agent…
We study the optimal order placement strategy with the presence of a liquidity cost. In this problem, a stock trader wishes to clear her large inventory by a predetermined time horizon $T$. A trader uses both limit and market orders, and a…
We consider a repeated auction where the buyer's utility for an item depends on the time that elapsed since his last purchase. We present an algorithm to build the optimal bidding policy, and then, because optimal might be impractical, we…
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…
In this work, we investigate the market-making problem on a trading session in which a continuous phase on a limit order book is followed by a closing auction. Whereas standard optimal market-making models typically rely on terminal…
This paper develops the theory of mechanism redesign by which an auctioneer can reoptimize an auction based on bid data collected from previous iterations of the auction on bidders from the same market. We give a direct method for…
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 provide an explicit characterization of the optimal market making strategy in a discrete-time Limit Order Book (LOB). In our model, the number of filled orders during each period depends linearly on the distance between the fundamental…