Related papers: Market Making with Exogenous Competition
As demonstrated during the recent financial crisis, regulators require additional analytical tools to assess systemic risk in the financial sector. This paper describes one such tool; namely a novel market modeling and analysis capability.…
With a novel search algorithm or assortment planning or assortment optimization algorithm that takes into account a Bayesian approach to information updating and two-stage assortment optimization techniques, the current research provides a…
We propose a general non-linear order book model that is built from the individual behaviours of the agents. Our framework encompasses Markovian and Hawkes based models. Under mild assumptions, we prove original results on the ergodicity…
This thesis presents the results of a comprehensive research project focused on applying Reinforcement Learning (RL) to the problem of market making in financial markets. Market makers (MMs) play a fundamental role in providing liquidity,…
Recent scholarly work has extensively examined the phenomenon of algorithmic collusion driven by AI-enabled pricing algorithms. However, online platforms commonly deploy recommender systems that influence how consumers discover and purchase…
The problem of allocating scarce items to individuals is an important practical question in market design. An increasingly popular set of mechanisms for this task uses the concept of market equilibrium: individuals report their preferences,…
We propose a pseudo-market solution to resource allocation problems subject to constraints. Our treatment of constraints is general: including bihierarchical constraints due to considerations of diversity in school choice, or scheduling in…
This work provides a Deep Reinforcement Learning approach to solving a periodic review inventory control system with stochastic vendor lead times, lost sales, correlated demand, and price matching. While this dynamic program has…
This paper shows that in suitable markets, even with out-of-equilibrium trade allowed, a simple price update rule leads to rapid convergence toward the equilibrium. In particular, this paper considers a Fisher market repeated over an…
We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs from the adverse impact of his trades on market prices. By…
Individuals often navigate several options with incomplete knowledge of their own preferences. Information provisioning tools such as public rankings and personalized recommendations have become central to helping individuals make choices,…
Posted price mechanisms are prevalent in allocating goods within online marketplaces due to their simplicity and practical efficiency. We explore a fundamental scenario where buyers' valuations are independent and identically distributed,…
The present work generalizes the analytical results of Petrikaite (2016) to a market where more than two firms interact. As a consequence, for a generic number of firms in the oligopoly model described by Janssen et al (2005), the…
We investigate activities that have different periods of duration. We define the profit intensity as a measure of this economic category. The profit intensity in a repeated trading has a unique property of attaining its maximum at a fixed…
This paper examines how data inputs shape competition among artificial intelligences (AIs) in pricing games. The dataset assigns labels to consumers and divides them into different markets, thereby inducing multimarket contact among AIs. We…
This paper considers facility location problems in which a firm entering a market seeks to open facilities on a subset of candidate locations so as to maximize its expected market share, assuming that customers choose the available…
We develop a probabilistic consumer choice framework based on information asymmetry between consumers and firms. This framework makes it possible to study market competition of several firms by both quality and price of their products. We…
We consider a finite-horizon market-making problem faced by a dark pool that executes incoming buy and sell orders. The arrival flow of such orders is assumed to be random and, for each transaction, the dark pool earns a per-share…
When society maintains a competitive system to promote an abstract goal, competition by necessity relies on imperfect proxy measures. For instance profit is used to measure value to consumers, patient volumes to measure hospital…
The topics treated in this thesis are inherently two-fold. The first part considers the problem of a market maker optimally setting bid/ask quotes over a finite time horizon, to maximize her expected utility. The intensities of the orders…