Related papers: Market Making with Exogenous Competition
Since they were authorized by the U.S. Security and Exchange Commission in 1998, electronic exchanges have boomed, and by 2010 high frequency trading accounted for over 70% of equity trades in the US. Such markets are thought to increase…
We study an online market-making problem in which a learner sequentially posts bid and ask prices for a single asset while interacting with traders holding private valuations. Unlike existing online learning formulations that assume fully…
In many markets buyers are poorly informed about which firms sell the product (product availability) and prices, and therefore have to spend time to obtain this information. In contrast, sellers typically have a better idea about which…
Automated market makers (AMMs) allocate fee revenue \textit{proportional} to the amount of liquidity investors deposit. In this paper, we study the economic consequences of the competition between passive liquidity providers (LPs) caused by…
Recommender systems have emerged as a new weapon to help online firms to realize many of their strategic goals (e.g., to improve sales, revenue, customer experience etc.). However, many existing techniques commonly approach these goals by…
Our work introduces the effect of supply/demand imbalances into the literature on online matching with stochastic rewards in bipartite graphs. We provide a parameterized definition that characterizes instances as over- or undersupplied (or…
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…
We explore how dynamic entry deterrence operates through feedback strategies in markets experiencing stochastic demand fluctuations. The incumbent firm, aware of its own cost structure, can deter a potential competitor by strategically…
The over-the-counter (OTC) market is characterized by a unique feature that allows market makers to adjust bid-ask spreads based on order size. However, this flexibility introduces complexity, transforming the market-making problem into a…
In this research, we have empirically investigated the key drivers affecting liquidity in equity markets. We illustrated how theoretical models, such as Kyle's model, of agents' interplay in the financial markets, are aligned with the…
We propose a dynamical theory of market liquidity that predicts that the average supply/demand profile is V-shaped and {\it vanishes} around the current price. This result is generic, and only relies on mild assumptions about the order flow…
An employer contracts with a worker to incentivize efforts whose productivity depends on ability; the worker then enters a market that pays him contingent on ability evaluation. With non-additive monitoring technology, the interdependence…
Internet market makers are always facing intense competitive environment, where personalized price reductions or discounted coupons are provided for attracting more customers. Participants in such a price war scenario have to invest a lot…
This paper analyzes the strategic interactions between a profit-maximizing monopolist and a free, capacity-constrained public option. By restricting its own supply, the monopolist intentionally congests the public option and induces…
I prove that competitive market outcomes require computational intractability. If P = NP, firms can efficiently solve the collusion detection problem, identifying deviations from cooperative agreements in complex, noisy markets and thereby…
We study the competitive and welfare effects of copyright in creative industries in the face of cost-reducing technologies such as generative artificial intelligence. Creative products often feature unstructured attributes (e.g., images and…
Based on the success of recommender systems in e-commerce, there is growing interest in their use in matching markets (e.g., labor). While this holds potential for improving market fluidity and fairness, we show in this paper that naively…
We study the economic interactions among sellers and buyers in online markets. In such markets, buyers have limited information about the product quality, but can observe the sellers' reputations which depend on their past transaction…
This paper introduces a new algorithmic execution model that integrates interbank limit and market orders with internal liquidity generated through market making. Based on the Cartea et al.\cite{cartea2015algorithmic} framework, we…
We consider a one-period Kyle (1985) framework where the insider can be subject to a penalty if she trades. We establish existence and uniqueness of equilibrium for virtually any penalty function when noise is uniform. In equilibrium, the…