Related papers: Market Making with Exogenous Competition
We have studied here the self-organising features of the dynamics of a model market, where the agents `trade' for a single commodity with their money. The model market consists of fixed numbers of economic agents, money supply and…
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 a typical online resource allocation problem, we start with a fixed inventory of resources and make online allocation decisions in response to resource requests that arrive sequentially over a finite horizon. We consider settings where…
We consider a discrete time competition model. Populations compete for common limited resources but they have different fertilities and mortalities rates. We compare dynamical properties of this model with its continuous counterpart. We…
We study the revenue comparison problem of auctions when the seller has a maxmin expected utility preference. The seller holds a set of priors around some reference belief, interpreted as an approximating model of the true probability law…
The society's insatiable appetites for personal data are driving the emergency of data markets, allowing data consumers to launch customized queries over the datasets collected by a data broker from data owners. In this paper, we study how…
Price impact of a trade is an important element in pre-trade and post-trade analyses. We introduce a framework to analyze the market price of liquidity risk, which allows us to derive an inhomogeneous Bernoulli ordinary differential…
Globally operating suppliers face the rising challenge of wholesale pricing under scarce data about retail demand, in contrast to better informed, locally operating retailers. At the same time, as local businesses proliferate, markets…
We study the price competition in a duopoly with an arbitrary number of buyers. Each seller can offer multiple units of a commodity depending on the availability of the commodity which is random and may be different for different sellers.…
Matching markets face increasing needs to learn the matching qualities between demand and supply for effective design of matching policies. In practice, the matching rewards are high-dimensional due to the growing diversity of participants.…
Dynamic facility location problems predominantly suppose a monopoly over the service or product provided. Nonetheless, this premise can be a severe oversimplification in the presence of market competitors, as customers may prefer facilities…
Platform giants in China have operated with persistently compressed margins in highly concentrated markets for much of the past decade, despite market shares exceeding 60\% in core segments. Standard theory predicts otherwise: either the…
Market equilibria of matching markets offer an intuitive and fair solution for matching problems without money with agents who have preferences over the items. Such a matching market can be viewed as a variation of Fisher market, albeit…
A fundamental economic question is that of designing revenue-maximizing mechanisms in dynamic environments. This paper considers a simple yet compelling market model to tackle this question, where forward-looking buyers arrive at the market…
We develop a dynamic multi-agent model of an interbank payment system where banks choose their level of available funds on the basis of private payoff maximisation. The model consists of the repetition of a simultaneous move stage game with…
Supply chains are the backbone of the global economy. Disruptions to them can be costly. Centrally managed supply chains invest in ensuring their resilience. Decentralized supply chains, however, must rely upon the self-interest of their…
Viscous fingering and wormhole growth are complex nonlinear unstable phenomena. We view both as the result of competition for water in which the capacity of an instability to grow depends on its ability to carry water. We derive empirical…
Reinforcement Learning has emerged as a promising framework for developing adaptive and data-driven strategies, enabling market makers to optimize decision-making policies based on interactions with the limit order book environment. This…
We investigate the possibility of completing financial markets in a model with no exogenous probability measure and market imperfections. A necessary and sufficient condition is obtained for such extension to be possible.
We analyze digital markets where a monopolist platform uses data to match multiproduct sellers with heterogeneous consumers who can purchase both on and off the platform. The platform sells targeted ads to sellers that recommend their…