Related papers: Market Making with Exogenous Competition

We study Cournot competition among firms in a networked marketplace that is centrally managed by a market maker. In particular, we study a situation in which a market maker facilitates trade between geographically separate markets via a…

Sequential fundraising in two sided online platforms enable peer to peer lending by sequentially bringing potential contributors, each of whose decisions impact other contributors in the market. However, understanding the dynamics of…

We study procurement design when the buyer is uncertain about both the value of the good and the seller's cost. The buyer has a conjectured model but does not fully trust it. She first identifies mechanisms that maximize her worst-case…

This paper studies the optimal investment problem with random endowment in an inventory-based price impact model with competitive market makers. Our goal is to analyze how price impact affects optimal policies, as well as both pricing rules…

We consider the problem faced by a service platform that needs to match limited supply with demand but also to learn the attributes of new users in order to match them better in the future. We introduce a benchmark model with heterogeneous…

We study two questions related to competition on the OTC CDS market using data collected as part of the EMIR regulation. First, we study the competition between central counterparties through collateral requirements. We present models that…

Competition between traditional platforms is known to improve user utility by aligning the platform's actions with user preferences. But to what extent is alignment exhibited in data-driven marketplaces? To study this question from a…

A novel high-frequency market-making approach in discrete time is proposed that admits closed-form solutions. By taking advantage of demand functions that are linear in the quoted bid and ask spreads with random coefficients, we model the…

In this work, we study a generalized Fisher market model that incorporates social influence. In this extended model, a buyer's utility depends not only on their own resource allocation but also on the allocations received by their…

With the emergence of decentralized finance, new trading mechanisms called Automated Market Makers have appeared. The most popular Automated Market Makers are Constant Function Market Makers. They have been studied both theoretically and…

The growing integration of renewable energy sources necessitates adequate reserve capacity to maintain power balance. However, in market clearing, power companies with flexible resources may submit strategic bids to maximize profits,…

We present a financial market model, characterized by self-organized criticality, that is able to generate endogenously a realistic price dynamics and to reproduce well-known stylized facts. We consider a community of heterogeneous traders,…

Most modern systems strive to learn from interactions with users, and many engage in exploration: making potentially suboptimal choices for the sake of acquiring new information. We initiate a study of the interplay between exploration and…

Market makers play an important role in providing liquidity to markets by continuously quoting prices at which they are willing to buy and sell, and managing inventory risk. In this paper, we build a multi-agent simulation of a dealer…

This paper investigates the impacts of competition in autonomous mobility-on-demand systems. By adopting a network-flow based formulation, we first determine the optimal strategies of profit-maximizing platform operators in monopoly and…

This paper develops algorithms to solve strong-substitutes product-mix auctions. That is, it finds competitive equilibrium prices and quantities for agents who use this auction's bidding language to truthfully express their…

Content creators compete for exposure on recommendation platforms, and such strategic behavior leads to a dynamic shift over the content distribution. However, how the creators' competition impacts user welfare and how the relevance-driven…

With the fragmentation of electronic markets, exchanges are now competing in order to attract trading activity on their platform. Consequently, they developed several regulatory tools to control liquidity provision / consumption on their…

We consider the problem of a firm seeking to use personalized pricing to sell an exogenously given stock of a product over a finite selling horizon to different consumer types. We assume that the type of an arriving consumer can be observed…

We empirically study the interplay between exploration and competition. Systems that learn from interactions with users often engage in exploration: making potentially suboptimal decisions in order to acquire new information for future…