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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…
This paper studies four trading algorithms of a professional trader at a multilateral trading facility, observing a realistic two-sided limit order book whose dynamics are driven by the order book events. The identity of the trader can be…
In this paper we study the so-called minimum income condition order, which is used in some day-ahead electricity power exchanges to represent the production-related costs of generating units. This order belongs to the family of complex…
Most modern financial markets use a continuous double auction mechanism to store and match orders and facilitate trading. In this paper we develop a microscopic dynamical statistical model for the continuous double auction under the…
We study how to enable auctions in the big data context to solve many upcoming data-based decision problems in the near future. We consider the characteristics of the big data including, but not limited to, velocity, volume, variety, and…
In this article we consider combinatorial markets with valuations only for singletons and pairs of buy/sell-orders for swapping two items in equal quantity. We provide an algorithm that permits polynomial time market-clearing and -pricing.…
We study revenue optimization learning algorithms for repeated second-price auctions with reserve where a seller interacts with multiple strategic bidders each of which holds a fixed private valuation for a good and seeks to maximize his…
We study a seller who sells a single good to multiple bidders with uncertainty over the joint distribution of bidders' valuations, as well as bidders' higher-order beliefs about their opponents. The seller only knows the (possibly…
In classic auction theory, reserve prices are known to be effective for improving revenue for the auctioneer against quasi-linear utility maximizing bidders. The introduction of reserve prices, however, usually do not help improve total…
This letter considers the design of an auction mechanism to sell the object of a seller when the buyers quantize their private value estimates regarding the object prior to communicating them to the seller. The designed auction mechanism…
We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model,…
When agents with independent priors bid for a single item, Myerson's optimal auction maximizes expected revenue, whereas Vickrey's second-price auction optimizes social welfare. We address the natural question of trade-offs between the two…
We consider the fundamental problem of designing a truthful single-item auction with the challenging objective of extracting a large fraction of the highest agent valuation as revenue. Following a recent trend in algorithm design, we assume…
In a single-parameter mechanism design problem, a provider is looking to sell a service to a group of potential buyers. Each buyer $i$ has a private value $v_i$ for receiving the service and a feasibility constraint restricts which sets of…
This paper considers an electric vehicle charging scheduling setting where vehicle users can reserve charging time in advance at a charging station. In this setting, users are allowed to explicitly express their preferences over different…
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…
We consider a dynamic mechanism design problem where an auctioneer sells an indivisible good to groups of buyers in every round, for a total of $T$ rounds. The auctioneer aims to maximize their discounted overall revenue while adhering to a…
This paper examines knapsack auctions as a method to solve the knapsack problem with incomplete information, where object values are private and sizes are public. We analyze three auction types-uniform price (UP), discriminatory price (DP),…
In many settings agents participate in multiple different auctions that are not necessarily implemented simultaneously. Future opportunities affect strategic considerations of the players in each auction, introducing externalities.…
This paper addresses the question of how much to bid to maximize the profit when trading in two electricity markets: the hourly Day-Ahead Auction and the quarter-hourly Intraday Auction. For optimal coordinated bidding many price scenarios…